统计研究 ›› 1997, Vol. 14 ›› Issue (3): 70-72.

• 论文 • 上一篇    下一篇

期货报酬时间序列统计特性

徐剑刚   

  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:1997-06-07 发布日期:2012-02-14

The Statistical Characteristics of Futures Reward Time Series

Xu Jiangang   

  • Received:1900-01-01 Revised:1900-01-01 Online:1997-06-07 Published:2012-02-14

Abstract: The paper has studied the statistical characteristics of reward time series, and found abnormality and dependency of futures reward with a thick tail distribution compared with that of normal one. In general a big functionation of futures reward immediately followed by a big one, and a little fluctuation followed by a little one, the variance changes over time. The study also has found that traditional AR model cannot fully describe the characteristics of futures reward time series while AR+ARCH can do better.