Dalian Soybean And Soybean Meal Futures Yield Volatility Effect Study

At present, under the circumstance that No. 1 soybean and No.2 soybean futures contracts are on the list of Dalian Commodity Exchange at the same time, we firstly analyzes the volatility effect of the two kinds of soybean and soybean meal sequence futures contracts' returns, then compares the relation effect, finally draws some useful conclusions. The above research are done by using the theory of volatility and univariate and multivariate general autoregressive conditional heteroscedasticity (GARCH) models.In this paper, we firstly introduce the content of volatility theory and the practical research results of this theory, and then introduce the related models' forms, characteristics, constraint conditions and the parameter estimation methods using this theory in the international research area as the theoretic basic of this paper.Then, with the basic descriptive statistics, we do some research on the volatility effects of No.1& No.2 soybean sequence futures contracts and soybean meal sequence futures contract of Dalian Commodity Exchange from December 23, 2004 to September 22, 2005 and obtains the following conclusions: first, soybean and soybean meal price time series in our country are unsteady process, but the soybean and soybean meal return time series are steady process; second, the soybean and soybean meal return time series are not symmetrical normal distribution, they have higher peaks and thicker tails than the series with normal distribution, these characteristics can also be seen in the overseas mature futures markets; third, our country's soybean and soybean meal return series have the volatility clustering and ARCH effects; fourth, the model GARCH(1,1)well describes the volatility clustering effects of both soybean contracts and soybean meal contract; fifth, the volatility effects of soybean and soybean meal return series are continual according to the variance model coefficient estimate results, which means when the market have irregular volatility because of sudden factors, the volatility will last for a period of...