An Empirical Analysis of the Price Volatility Characteristics of China's Soybean Futures Market Based on ARIMA-GJR-GARCH Model. (5th November 2021)

• Record Type: Journal Article
• Authors: Xu, Yang; Xia, Zhihao; Wang, Chuanhui; Gong, Weifeng; Liu, Xia; Su, Xiaodi
• Other Names: Tang Niansheng Academic Editor.
• Is Part Of: Journal of mathematics. Volume 2021(2021)
• Publication Date: 2021-11-05
• Subjects: Mathematics -- Periodicals; Mathematics; Periodicals; 510
• DOI: 10.1155/2021/7765325
• Languages: English
• ISSNs: 2314-4629

Abstract

Abstract : As the main force in the futures market, agricultural product futures occupy an important position in the China's market. Taking the representative soybean futures in Dalian Commodity Futures Market of China as the research object, the relationship between price fluctuation characteristics and trading volume and open position was studied. The empirical results show that the price volatility of China's soybean futures market has a "leverage effect." The trading volume and open interest are divided into expected parts and unexpected parts, which are added to the conditional variance equation. The expected trading volume coefficient is estimated. Also, the estimated value of the expected open interest coefficient is, respectively, smaller than the estimated value of the unexpected trading volume coefficient and the estimated value of the unexpected open interest coefficient. Therefore, the impact of expected trading volume on the price fluctuation of China's soybean futures market is less than that of unexpected trading volume on the price of soybean futures market. This paper adds transaction volume as an information flow to the variance of the conditional equation innovatively and also observes transaction volume as the relationship between conditional variance and price fluctuations.