贵金属期货价格的时间序列分析及期货池初期优选方案

Time Series Analysis for Precious Metals’ Futures Price and Pilot for Selecting Futures Pool

摘要: 对2011~2016年间贵金属期货价格对数收益率时间序列数据，总结了基本统计特征，建立了ARMA-GARCH模型和EGARCH模型并进行了风险值分析。在此基础上，建议了一种具有更多获利机会的初选贵金属期货品种池的策略。

Abstract: This paper summarizes the basic statistical characteristics of the time series data of the loga-rithmic return of precious metals futures in the past 2011~2016 years, establishes the ARMA-GARCH model and EGARCH model, and carries out the risk analysis. Based on these re-sults, a pilot strategy for selecting precious metal futures pool with more profit opportunities is also proposed.