| 本次经济危机主要大宗商品期货价格波动性研究 |
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| 引用本文： | 蔡纯.本次经济危机主要大宗商品期货价格波动性研究[J].金融理论与实践,2010(2). |
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| 作者姓名： | 蔡纯 |
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| 作者单位： | 中国人民大学,财政金融学院,北京,100872 |
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| 摘 要： | 本文在分析本次次债危机以来主要大宗商品价格变动情况的基础上,建立了ARMA和E-GARCH模型及ARMA和TARCH模型来描述本轮经济周期中石油、铜、铝、黄金、大豆和玉米等大宗商品的期货价格收益序列的波动性特征。自相关分析发现不同商品期货市场的有效性略有差异,原油和铜市场更为有效;ARMA和非对称GARCH模型表明,主要商品收益波动均具有积聚效应,原油和铝收益波动具有杠杆效应,坏消息对原油收益波动的冲击大于好消息,好消息对铝收益波动的冲击大于坏消息。
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| 关 键 词： | 期货价格 波动性 杠杆效应 积聚效应 GARCH模型 |
The Study of Main Commodities Future Price Volatility in Subprime Crisis |
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| Cai Chun.The Study of Main Commodities Future Price Volatility in Subprime Crisis[J].Financial Theory and Practice,2010(2). |
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| Authors: | Cai Chun |
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| Abstract: | This paper has set up several ARMA-EGARCH models and ARMA-TARCH models to describe the volatility characters of crude oil,copper,aluminum,gold,soybean and corn based on the analysis about volatility trend of main commodities after subprime crisis.The analysis on the autocorrelation finds that validities of various commodity markets are slightly different: crude oil and copper markets are more validity;ARMA and asymmetry GARCH model show that all the six commodities future return have the clustering effect,a... |
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| Keywords: | Future Price Volatility Leverage Effect Clustering Effect GARCH Model |
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