Hits:

Date of Publication:2006-01-01

Journal:哈尔滨工业大学学报

Issue:9

Page Number:1572-1575

ISSN No.:0367-6234

Abstract:Future price model is introduced based on the model of EWMA and GARCH, which offers a new computing method for the determination of the future markets. The characteristics of this model are as follows; first, using the GARCH model to determine the key parameter and attenuation factor of EWMA model. Second, determining the soybean and soy meal contracts' decay factor to find that the decay factor is notable different from different time or different kinds. This makes the forecasting model more pertinence.

Note:新增回溯数据