摘要
在构造郑州棉花期货合约数据的同时运用EGARCH模型和TARCH模型在非正态分布下拟合了该合约数据,进而得出郑棉期货市场价格存在对信息反应的非对称效应的结论,即"利空消息"对价格的冲击大于"利多消息"对价格的冲击,而产生该现象的合理解释就是价格波动的反馈机制的存在。
After configuring and imitating Zhengzhou cotton future data with EARCH model and TARCH model abnormal distribution,we draw the conclusion that there is a unsymmetrical effect on the cotton future market.That is to say,bearish news＇ impact on price is stronger than bullish news＇.The rational expiation is the existence of price＇s fluctuation feedback effect.
出处
《福建金融管理干部学院学报》
2010年第2期13-19,共7页
Journal of Fujian Institute of Financial Administrators
