我国农产品期货的长记忆研究:基于GPH与修正R/S实证检验

Research on the Long-term Memory of the Agricultural Products Futures Markets:Based on GPH and MRS Empirical Study

金融时间序列长记忆一直是研究热点,但大都集中于研究股票市场。本文通过GPH和修正R/S方法研究我国农产品中白糖、天然橡胶、豆粕、黄大豆一号和棉花这5个具有代表性的品种。研究结果表明,白糖、豆粕、黄大豆一号这3个品种不具有长记忆性,而棉花和天然橡胶长记忆特征明显。

Long-term memory of time series is always hot research areas , but mostly focus on stock market. This paper use GPH and MRS methods to analyse sugar, rubber, bean pulp, soybeans and cotton,these five representative kinds of agricultural products in our futures markets. The result shows that sugar, bean pulp and soybeans are not significant in long-term property , but cotton and rubber are very significant.