| 玉米期货价格的波动分析 |
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| 引用本文： | 李显戈,周应恒.玉米期货价格的波动分析[J].技术经济与管理研究,2013(11):69-73. |
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| 作者姓名： | 李显戈 周应恒 |
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| 作者单位： | [1]台州经济研究所,浙江台州318000 [2]南京农业大学经济管理学院,江苏南京210095 |
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| 基金项目： | 国家自然科学基金项目（71173110）; 教育部人文社科青年基金项目（13YJC790079） |
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| 摘 要： | 本文基于玉米期货价格数据,运用ARCH类模型和马尔科夫机制转换模型分析玉米期货价格的波动规律和特征。研究表明,玉米期货价格存在一阶ARCH效应和＂杠杆效应＂,玉米期货价格收益率具有显著的波动集簇性;TARCH和EGARCH模型估计结果,玉米市场中价格上涨信息引发的波动比价格下跌信息引发的波动要大,玉米价格波动具有显著的非对称性。我国玉米期货价格确实存在马尔科夫机制转换;在样本研究期间,我国玉米期货价格存在比较明显的三个上涨和下跌阶段,在波动中保持上涨趋势。
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| 关 键 词： | 玉米期货 期货价格 ARCH模型 期货市场 |
Research on the Volatility of Corn Price |
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| LI Xian-ge,ZHOU Ying-heng.Research on the Volatility of Corn Price[J].Technoeconomics & Management Research,2013(11):69-73. |
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| Authors: | LI Xian-ge ZHOU Ying-heng |
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| Institution: | 1. Taizhou Economic Institute, Taizhou Zhejiang 318000, China; 2. College of Econ ＆ Management, Nanjing Agricultural University, Nanjing Jiangsu 210095, China) |
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| Abstract: | The corn has the relatively sophisticated nature,it not only has important cereal nature,but also has the nature of cereal and energy（corn be used as the raw material for bioethonal）,its price volatility has very crucial effect on grain production and consumption.In 2012,the contribution of corn to grain increase gets to 83.5%,and corn becomes the grain with largest production after rice.As an important source of feed cereal,corn price volatility transmit downward and affect aquaculture production cost.Future has the function of price discovery and risk aversion,so it is necessary to master the legal pattern and characters to help corn producers to make correct decisions. |
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| Keywords: | Corn futures The futures price The ARCH model The futures market |
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