| GARCH类模型在我国期货市场预测中的应用研究 |
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| 引用本文： | 孙德山,钱程,韩国涛.GARCH类模型在我国期货市场预测中的应用研究[J].辽宁师范大学学报(自然科学版),2012(1):4-8. |
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| 作者姓名： | 孙德山 钱程 韩国涛 |
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| 作者单位： | 辽宁师范大学数学学院;辽宁农业职业技术学院信息工程系 |
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| 基金项目： | 国家自然科学基金项目(61105059) |
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| 摘 要： | 理论研究和实证分析是期货市场波动性和价格操纵行为研究的重要基础，GARCH类模型的研究和应用被认为是该领域的重要成果．利用时间序列分析方法，以2009年1月5日至2011年6月10日期货市场每月总成交额为样本，对我国2009年以来期货的总成交额进行实证分析．通过ARCH模型分析、ARCH效应检验和CARCH模型分析，认为TARCH（1，1）模型是适合的，且期货日成交额序列存在一定的波动聚类与持续性而表明存在条件异方差性的较明显、非对称性的存在而显示出的杠杆效应的突出．
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| 关 键 词： | GARCH模型 波动性 异方差 非对称性 |
Application of GARCH model in futures market of China |
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| SUN De-shan,QIAN Cheng,HAN Guo-tao.Application of GARCH model in futures market of China[J].Journal of Liaoning Normal University(Natural Science Edition),2012(1):4-8. |
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| Authors: | SUN De-shan QIAN Cheng HAN Guo-tao |
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| Institution: | 1.School of Mathematics,Liaoning Normal University,Dalian 116029,China;2.Department of Information Engineering,Liaoning Agricultural Vocation-Tochnical College,Yinkou 115009,China) |
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| Abstract: | As Chinese futures market is burgeoning,it is much lacking to research theoretically and empirically on the futures market.For developing the futures market,it is indispensable to know and master the actuality of development and the intrinsic characteristics in Chinese futures market.In this paper,the volatilities are systematically studied through academic and empirical methods according to the basic situations of price fluctuation in Chinese futures market.Time series analysis is used to analyze the futures market ’ s total amount of each month,the samples are chosen from Jan.5,2009to Jun.10,2011.The results show that TARCH(1,1) model we got is appropriate,which could forecast the futures market ’ s development.There will be positive theoretic worth and practical significance for supervisory departments and trading makers. |
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| Keywords: | GARCH model volatility heteroskedasticity asy mmetric |
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