发帖
雷达卡
英文文献：Realized Volatility in the Agricultural Futures Market-农产品期货市场实现波动
英文文献作者：Wang, Yuanfang,Roberts, Matthew C.
英文文献摘要：
Users of agricultural markets always need to establish accurate representations of future volatility. This paper investigates the properties of realized volatility in the soybean futures market. The results indicate that the distributional properties of realized volatility based on 5-minute returns largely correspond with existing literature. The findings of three volatility measures confirm that the Mixture of Distributions Hypothesis (MDH) is valid. In contrast, the standardized daily returns display some different properties compared with stock and exchange rate data. Moreover, the parametric ARFIMA and GARCH models reflect same patterns as described in nonparametric analysis.
农业市场的使用者总是需要建立未来波动率的准确表征。本文研究了大豆期货市场实现波动的性质。结果表明，基于5分钟收益的已实现波动率的分布特性与已有文献基本一致。三种波动率指标的研究结果证实了混合分布假说(MDH)的有效性。相比之下，标准化的日收益与股票和汇率数据显示出一些不同的属性。此外，参数ARFIMA和GARCH模型反映了非参数分析中所描述的相同模式。
京公网安备 11010802022788号
