黄大豆1号期货收益率体制转换模型分析

Regime Switching Model Analysis of the Rate of Return for No.1 Soybean Futures

叙述了隐马尔科夫模型对于大豆期货收益率的建模过程.对2011年黄大豆1号各期合约的收益率进行了两状态体制转换分析,分别得到了正收益状态和负收益状态的均值和平均持续时间.

This paper describes the modeling process of the rate of returns for soybean tutures. The regime swltching of the two states was discussed for the rate of returns of No.1 soybean futures in 2011,the mean value and expected duration time about the states of positive and negative rate of return were obtained respectively.