商业研究

商业研究

• 商经理论 • 上一篇    下一篇

我国商品期货价格收益率及波动率长记忆性研究

刘军岭，屈军   

  1. 上海财经大学 国际工商管理学院，上海 200433
  • 收稿日期:2016-08-29 出版日期:2017-01-10
  • 作者简介:刘军岭（1981-），男，山东枣庄人，上海财经大学国际工商管理学院博士研究生，研究方向：资本市场、国际贸易与投资；屈军（1988-），男，湖南邵阳人，上海财经大学国际工商管理学院博士研究生，研究方向：金融衍生品市场。

Research on the Long Memory of China′s Commodity Futures Price Yields and Volatility

LIU Jun-ling, QU Jun   

  1. School of International Business Administration, Shanghai University of Finance and Economics, Shanghai 200433, China
  • Received:2016-08-29 Online:2017-01-10

摘要： 本文从非参数和半参数角度采用八种估计方法对我国沪铜、沪金、橡胶和连豆为代表的主要期货价格收益率和波动率的长记忆性进行实证对比检验，结果发现，从整体上看期货价格收益率长记忆性特征不明显，而波动率存在显著长记忆性结构，这说明不可预测信息对我国期货市场波动性具有长远影响。结论对我国期货市场效率度量、投资决策和风险管理具有指导和启示意义。

关键词: 商品期货, 波动率, 长记忆性

Abstract: From the semi-parametric and nonparametric perspective, the paper empirically examines the long memory of commodity futures price yields and volatility, such as copper, gold, rubber and soybean by use of eight estimation methods. The research finds that: the long memory of futures price yields is not obvious as a whole, while there is significant long memory structure of futures price volatility,showing that unpredictable information has a long-term impact on the volatility of the futures market. The conclusions have important guiding and enlightment significance for efficiency measures of futures market, investment and risk management.

Key words: commodity futures, volatility;Long Memory