Stability of Spot price and Futures market for Agricultural commodity: based on the sugar products
Available Online January 2016.
- https://doi.org/10.2991/ifmeita-16.2016.96How to use a DOI?
- spot price stability, agricultural futures market, futures trading volume,GARCH
- The mechanism of the stability of spot price will be further analyzed on the basis of ARMA-GARCH model, selecting the daily data of the spot price and the futures price of sugar products. However, as the new factors appeared, it is inappropriate to analyze by GARCH model with dummy variable. Thus, the paper also establish the GARCH model with futures trading volume to verify the spot price stability function of the futures market and test the robustness of the model. The results show that the spot prices tend to be stable with the improvement of agricultural futures market, but different agricultural futures market are not the same.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Zijian Yang PY - 2016/01 DA - 2016/01 TI - Stability of Spot price and Futures market for Agricultural commodity: based on the sugar products BT - 2016 International Forum on Management, Education and Information Technology Application PB - Atlantis Press SP - 517 EP - 522 SN - 2352-5398 UR - https://doi.org/10.2991/ifmeita-16.2016.96 DO - https://doi.org/10.2991/ifmeita-16.2016.96 ID - Yang2016/01 ER -