玉米期货价格的波动分析

摘要

The corn has the relatively sophisticated nature, it not only has important cereal nature, but also has the nature of cereal and energy (corn be used as the raw material for bioethonal), its price volatility has very crucial effect on grain produc-tion and consumption. In 2012, the contribution of corn to grain increase gets to 83.5%, and corn becomes the grain with largest production after rice. As an important source of feed cereal, corn price volatility transmit downward and affect aquaculture produc-tion cost. Future has the function of price discovery and risk aversion , so it is necessary to master the legal pattern and characters to help corn producers to make correct decisions.%本文基于玉米期货价格数据，运用ARCH类模型和马尔科夫机制转换模型分析玉米期货价格的波动规律和特征。研究表明，玉米期货价格存在一阶ARCH效应和“杠杆效应”，玉米期货价格收益率具有显著的波动集簇性；TARCH和EGARCH模型估计结果，玉米市场中价格上涨信息引发的波动比价格下跌信息引发的波动要大，玉米价格波动具有显著的非对称性。我国玉米期货价格确实存在马尔科夫机制转换；在样本研究期间，我国玉米期货价格存在比较明显的三个上涨和下跌阶段，在波动中保持上涨趋势。