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发表时间： 2006-01-01

发表刊物： 哈尔滨工业大学学报

期号： 9

页面范围： 1572-1575

ISSN号： 0367-6234

摘要： 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.

备注： 新增回溯数据