基于ARIMA-GARCH与VAR模型的玉米期货收益率波动序列特征与影响因素研究

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中图分类号：F832.5 文献标识码：A 文章编号：1004-0714（2025）04-0067-09

AStudy on the Characteristicsand Influencing Factors of the Volatility Series of Corn Futures Returns BasedonARIMA-GARCHandVARModels

LIANGHaohual，YUYazhe²，CHENYanrul，JINYuhengl （.Faculty ZhuhaiCollegeofeijingInstituteofechnology，5l9ooo，ZhuhaiGuangdong，ina）

Abstract：Thisarticlemainlyselected thedailyclosing pricedata of corn futures onthe Dalian Commodity Exchange from September 2004toApril 2024，processed thedata，and used itas asampleitoestablishan ARIMAGARCH model.Among them，the GARCH model was used to analyze the market efficiency of the corn futures market andthe pricediscoveryfunctionof corn futures;The EGARCHmodelwas used to determinethe“leverage effect” intheyieldof corn futures，and the GARCH-M model was used to determine that there is no positive correlation between thereturn and risk of corn futures.Thisarticlefurther selected theclosing pricedata of corn futuresandtheaddedvalueof thesecondaryindustryfromDalianCommodity Exchangefrom 2004to2022，and usedavector auto-regressive modellto explore the causes of the“leverageeffect”and formulated theimpact ofiindustnial added value on the“leverage effect"，which was supported by evidence.

Keywords：Corn Futures Yield;ARIMA-GARCH Model;Vector Auto-Regressive Model （VAR）

一、引言

玉米对当今中国具有深远的现实意义，它是保障国家粮食安全的关键作物，为畜牧业提供了重要的饲料原料，同时在工业生产中作为生物燃料和多种产品的原料发挥着重要作用。（剩余14238字）