ARIMA Analysis of the volatility of the Soybean Futures Index of Dalian Commodity Exchange

被引：0

作者：

Huang, Jincheng ^{[1
]}

Li, Yan ^{[2
]}

机构：

[1] Natl Univ Singapore, Fac Sci, Dept Stat, Singapore 118426, Singapore

[2] Dalian Maritime Univ, Coll Management, Dalian 116026, Peoples R China

来源：

Proceedings of the 2016 International Conference on Education, E-learning and Management Technology | 2016年 / 44卷

关键词：

Soybean Futures Index; ARIMA; Volatility; Dalian Commodity Exchange;

D O I：

暂无

中图分类号：

G40 [教育学];

学科分类号：

040101 ; 120403 ;

摘要：

The futures market is an important part of the economy. It has the functions of price discovery, risk aversion and asset allocation. This article is a summary of related studies of soybean futures index using No. 1 Soybean Index as the subject of research. 2813 pieces of raw data of Nanhua Soybean Index were selected, and the trend of Nanhua Soybean Index is fitted using ARIMA model. The results showed that the ARIMA model is suitable for extracting the information from the raw data, and thus it is highly essential for the analyses of future indexes. It is an important tool for the in-depth studies of financial derivatives.

引用

页码：596 / 600

页数：5

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