| 我国期货市场波动率长记忆性的实证研究 |
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| 引用本文： | 胡平,崔海蓉,吴有华,沈力. 我国期货市场波动率长记忆性的实证研究[J]. 西安电子科技大学学报(社会科学版), 2009, 19(6): 10-14 |
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| 作者姓名： | 胡平 崔海蓉 吴有华 沈力 |
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| 作者单位： | 东南大学,经济管理学院,江苏,南京,211189 |
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| 基金项目： | 国家自然科学基金项目《流动性调整期望损失La-ES和最优变现策略》 |
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| 摘 要： | 通过利用FIEGARCH模型和FIGARCH模型实证分析了上交所的铝、铜、燃料油和天胶四种期货品种波动率的长记忆性和杠杆效应。结论显示，所有期货品种的价格波动率均存在显著的长期记忆性，沪铜期货的价格波动率不存在非对称性，其余三个期货品种均存在对正负干扰反应的非对称性，即价格对同等程度的利好消息反应更为强烈，因此FIEGARCH模型比FIGARCH模型具有更好的模拟效果。
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| 关 键 词： | 期货 长记忆性 杠杆效应 FIGARCH模型：FIEGARCH模型 |
Empirical Analysis of Volatility Long Memory in Chinese Futures Market |
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| HU PING,CUI HAIRONG,WU YOUHUA,SHEN LI. Empirical Analysis of Volatility Long Memory in Chinese Futures Market[J]. Journal of Xidian University (Social Sciences Edition), 2009, 19(6): 10-14 |
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| Authors: | HU PING CUI HAIRONG WU YOUHUA SHEN LI |
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| Affiliation: | (School of Economics ＆ Management, Southeast University, Nanjing, 211189,China) |
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| Abstract: | This paper analyzes the long memory property and leverage effect of volatility of aluminum, copper, fuel oil and natural rubber in Shanghai futures market using models of FIGARCH and FIEGARCH. Results reveal that there exists significantly long memory property in volatility of the four futures varieties. Leverage effect of copper futures is not significant. Other futures have the asymmetry of positive and negative disturbance, that is their prices more strongly respond to equal degree good news. So simulating effect of FIEGARCH is better than FIGARCH. |
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| Keywords: | Futures Long memory Leverage effect FIGARCH FIEGARCH |
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