摘要
为揭示国内外糖类期货价格的波动性规律及关联关系,文章基于ZCE白糖期货和ICE原糖11期货的日收盘价数据,建立GARCH族模型,对郑糖指数和糖11指数的波动特征及联动效应进行比较分析。结果表明:郑糖指数和糖11指数均存在ARCH效应和非对称效应,利好消息比等量的利空消息产生更大的波动;郑糖指数和糖11指数之间存在单向联动效应,糖11指数的波动导致郑糖指数的波动。
In order to reveal the fluctuation＇s law and the relationship of domestic and international sugar future price,basing on the closing price data of Zhengzhou Commodity Exchange＇s white sugar future and Intercontinental Exchange＇s sugar No.11 future,this paper establishes the family of GARCH models,and comparatively analyses the fluctuation characteristic and linkage effect of Zhengzhou white sugar future index and ICE sugar No.11 future index.The results show that,both Zhengzhou white sugar future index and ICE sugar No.11 future index have ARCH effect and asymmetry effect,and the fluctuation caused by good news is greater than that caused by comparable bad news;there is only one-way linkage effect from ICE sugar No.11 future index to Zhengzhou white sugar future index.
出处
《信阳师范学院学报（哲学社会科学版）》
2011年第6期62-66,共5页
Journal of Xinyang Normal University(Philosophy and Social Sciences Edition)
基金
河南省科技计划项目(102400450126)
河南省教育厅人文社科项目(2011-ZX-099)
关键词
白糖期货
GARCH模型
波动特征
联动效应
white sugar future
GARCH model
fluctuation characteristic
linkage effect
