中国油料作物期货价格波动分析——基于ARCH类模型分析

Analysis on Price Fluctuation of Oil Crop Futures in China:Based on ARCH- type Model

本文基于2013年3月15日至2016年3月18日的大豆、菜籽期货的每日收盘价数据,采用GARCH、GARCH-M、EGARCH和PGARCH等ARCH类模型对我国油料作物期货价格波动进行了实证分析,结果表明:(1)大豆、菜籽期货的价格波动具有显著的集聚性;(2)大豆和菜籽期货市场都不具有高风险高回报的特征;(3)大豆和菜籽期货的价格波动均具有非对称性。并根据上述结论提出了抵御油料期货市场风险以保障油料市场良性发展的相关政策建议。

This paper analyzes the price fluctuation of oil crop futures with ARCH-type models.Soybean futures and rapeseed futures are selected in this paper.The daily data is from March 15, 2013 to March 18, 2016.The results shows that the price fluctuation of oil crop futures take on the significant volatility clustering.And the markets of soybean futures and rapeseed futures don＇t have the characteristics of high-risk and high-reward.The price fluctuations have significant asymmetry.Then policy suggestions are put forward in this paper for resisting the market risk in order to ensure the healthy development of oil market.