| 中美棉花期货价格波动特征的比较研究 |
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| 引用本文： | 连莲,魏婷. 中美棉花期货价格波动特征的比较研究[J]. 长春大学学报, 2008, 18(9) |
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| 作者姓名： | 连莲 魏婷 |
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| 作者单位： | 重庆师范大学数学与计算机科学学院,重庆400047 |
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| 摘 要： | 利用GARCH（1，1）模型和EGARCH（1，1）模型分别对中国和美国棉花期货价格的波动特征进行对比分析。结果表明，从总体看郑州和纽约棉花期货市场都具有价格波动剧烈的特点，郑州棉花期货市场收益波动不具有杠杆效应，证明中国的棉花期货市场还不够成熟。
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| 关 键 词： | 棉花期货 价格波动 GARCH（1，1） EGARCH（1，1） |
Comparison and analysis of the price volatility between Sino-US cotton futures |
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| LIAN Lian,WEI Ting. Comparison and analysis of the price volatility between Sino-US cotton futures[J]. Journal of Changchun University, 2008, 18(9) |
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| Authors: | LIAN Lian WEI Ting |
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| Affiliation: | LIAN Lian,WEI Ting(College of Mathematics , Computer Science,Chongqing Normal University,Chongqing 400047,China) |
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| Abstract: | This article,using the GARCH(1,1)mode and EGARCH(1,1) mode,compares and analyzes the price volatility between Sino-US cotton futures.The results show that,while acute volatility generally appears at both Zhengzhou and New York cotton futures market,there is no leverage effect in reward volatility at Zhengzhou cotton futures market and this verified that Chinese cotton futures market hasn't grown mature. |
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| Keywords: | cotton futures price volatility GARCH(1 1) EGARCH(1 |
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