摘要 :
The paper empirically analyzes the wheat future price in the Zhengzhou Commodity Exchange by the generalized Autoregressive Conditional Heteroskedasticity model and establishes the integrity ARMA-GARCH model. The conclusions show ...
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The paper empirically analyzes the wheat future price in the Zhengzhou Commodity Exchange by the generalized Autoregressive Conditional Heteroskedasticity model and establishes the integrity ARMA-GARCH model. The conclusions show that the wheat future volatility have the high durative. By adding the dummy variable, the paper proves that the most wheat future contracts certainly exist the Samuelson hypothesis.
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