Fractional Integration in Agricultural Futures Price Volatilities
Fractional Integration in Agricultural Futures Price Volatilities
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DOI：
10.1111/j.0092-5853.2004.00589.x
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发表时间：
2004-05
期刊：
影响因子：
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通讯作者：
H. Jin;Darren L. Frechette
中科院分区：
文献类型：
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作者：
H. Jin;Darren L. Frechette
本文检验了农产品期货价格的波动性是否具有分数阶整性。14个农产品期货价格序列的波动率序列，每个系列超过5,300观察。波动率序列表现出很强的长期相关性，这是分数积分的一个指标。在对农产品期货价格波动性进行建模时，分数积分模型（图1，d，1）的表现明显优于传统波动性模型（GARCH（1，1））。版权所有2004年，牛津大学出版社。
This article tests whether the volatility of agricultural futures prices exhibits fractional integration. Volatility series were constructed for fourteen agricultural futures price series with over 5,300 observations per series. The volatility series exhibit strong long-term dependence, which is an indicator of fractional integration. A fractional integration model, FIGARCH(1, d, 1), performs significantly better than a traditional volatility model, GARCH(1,1), in modeling agricultural futures price volatility. Copyright 2004, Oxford University Press.