信息冲击对聚乙烯期货市场波动的影响

为了更好地刻画聚乙烯期货市场,基于APARCH和ST-GARCH模型,提出一种新的GARCH族模型:ST-APARCH模型。与APARCH模型相比,该模型对信息的处理更加平滑,而且概括了更多的GARCH族模型;与ST-GARCH模型相比,该模型考虑了不同市场收益率波动的次幂特征.使用聚乙烯期货市场的收益数据进行实证研究的结果表明,与GARCH,GJR-GARCH,APARCH模型相比,ST-APARCH模型能够更好地刻画聚乙烯期货市场收益率的波动特征,尤其是信息冲击所引起的复杂的杠杆效应.

Influence of News Impact on Volatility of LLDPE Futures Market

Based on APARCH and ST-GARCH model,a new kind of asymmetric GARCH family model was introduced which is called ST-APAPRCH.In contrast with APARCH model,more GARCH family models are included,and news is processed more smoothly.In contrast with ST-GARCH model,the power characteristics of yield volatility in different markets were taken into account.Empirical researches were conducted with the return of LLDPE futures,and the results show that ST-APARCH model can better demonstrate the volatility characteristics of LLDPE futures market compared with GARCH,GJR-GARCH or APARCH model,especially the complex leverage effect caused by the shock of news.