ARIMA Analysis of the volatility of the Soybean Futures Index of Dalian Commodity Exchange
- Jincheng Huang, Yan Li
- Corresponding Author
- Jincheng Huang
Available Online August 2016.
- https://doi.org/10.2991/iceemt-16.2016.115How to use a DOI?
- Soybean Futures Index, ARIMA, Volatility, Dalian Commodity Exchange
- The futures market is an important part of the economy. It has the functions of price discovery, risk aversion and asset allocation. This article is a summary of related studies of soybean futures index using No. 1 Soybean Index as the subject of research. 2813 pieces of raw data of Nanhua Soybean Index were selected, and the trend of Nanhua Soybean Index is fitted using ARIMA model. The results showed that the ARIMA model is suitable for extracting the information from the raw data, and thus it is highly essential for the analyses of future indexes. It is an important tool for the in-depth studies of financial derivatives.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Jincheng Huang AU - Yan Li PY - 2016/08 DA - 2016/08 TI - ARIMA Analysis of the volatility of the Soybean Futures Index of Dalian Commodity Exchange BT - 2016 International Conference on Education, E-learning and Management Technology PB - Atlantis Press SN - 2352-5398 UR - https://doi.org/10.2991/iceemt-16.2016.115 DO - https://doi.org/10.2991/iceemt-16.2016.115 ID - Huang2016/08 ER -