Study on Price Fluctuation of Chinese Forest Product Futures Based on ARCH Model--A Case Study of Fiberboard Futures
Based on the daily closing price data of fiberboard futures from December 6,2013 to October 31,2017,this paper utilizes the GARCH,EGARCH,GARCH-M,and TGARCH models in ARCH models to conduct empirical analysis of price fluctuation of fiberboard futures in China.The results show that:(1)the price fluctuation of fiberboard futures has a fluctuation clustering effect,and the distribution of the price earnings ratio of fiberboard futures is not normal,and features obvious peaks and fat tails;(2)fiberboard futures comply with the general law of high return against high risk;(3)the price fluctuation of fiberboard futures is asymmetric,namely,the positive and negative price shocks of the previous issue on the price fluctuation of the next issue are asymmetric.Based on the above conclusions,this paper puts forward relevant policy suggestions on resisting risks of fiberboard futures markets to guarantee the rapid development of spot market of fiberboards in the end.
fibre board price fluctuation ARCH-type model
Gu Xuesong Zhu Xuanying Huang Jiayi
School of Economics and Management,Beijing Forestry University,Beijing,China,100083
国际会议
大连
英文
342-348
2018-07-06（万方平台首次上网日期，不代表论文的发表时间）