白糖期货波动特征实证检验

Empirical Research on the Volatility of the Sugar Futures Markets

对我国郑州商品交易所白糖期货在2006—2011年收益率序列的波动特征进行了实证检验。研究结果表明:白糖期货的收益率分布均表现出尖峰厚尾特征,GARCH(1,1)模型检验结果发现,其α+β值小于1,但非常接近1,表明都具有很强的波动持续性;EGARCH(1,1)和TGARCH(1,1)模型估计的结果则表明白糖期货表现出正的杠杆效应。

The earnings rate of sugar futures in zhengzhou is studied from 2006 to 2011. Result shows that the kurtosis of sugar is larger than the normal distribution; the GARCH（1, 1） prove that the value of a＋ β is smaller than 1 but near 1, which prove that the volatility is strongly persist; the EGARCH（1, 1） and TGARCH（1, 1） models prove that the sugar has positive leverage effect.