| 中外白糖期现货价格波动及共生关系研究 |
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| 引用本文： | 袁庆禄.中外白糖期现货价格波动及共生关系研究[J].黑龙江八一农垦大学学报,2012,24(6):86-90. |
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| 作者姓名： | 袁庆禄 |
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| 作者单位： | 信阳师范学院经济与管理学院,信阳464000 财政部财科所博士后流动站 |
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| 基金项目： | 河南省政府决策研究招标课题 |
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| 摘 要： | 构建GARCH模型,揭示糖11期指、郑糖期指和柳糖现指的波动规律及共生关系。估计结果表明:三种指数均具有尖峰厚尾特征;糖11期指和郑糖期指均存在杠杆效应;国内郑糖期指和柳糖现指表现出明显的共生关系,中外白糖指数之间的共生关系不明显。
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| 关 键 词： | GARCH模型 价格波动 共生关系 |
Study of White Sugar Future and Spot Price's Fluctuations and Symbiotic Relationships at Home and Abroad |
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| Yuan Qinglu.Study of White Sugar Future and Spot Price's Fluctuations and Symbiotic Relationships at Home and Abroad[J].Journal of Heilongjiang August First Land Reclamation University,2012,24(6):86-90. |
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| Authors: | Yuan Qinglu |
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| Institution: | Yuan Qinglu1,2(1.School of Economics and Management,Xinyang Normal University,Xinyang 464000; 2.Post-doctoral Research Station,Research Institute For Fiscal Science,Ministry of Finance) |
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| Abstract: | |
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| Keywords: | GARCH model price's fluctuations symbiotic relationships |
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