Study Of Glass Futures Price Volatility

Glass future is first in building materials industry in China, guiding spot prices of theglass and plays an important role in promoting the healthy and stable development in the glassmarket. Glass futures contract price is the core of the glass futures market trading mechanism,and a correct understanding of the glass futures price volatility characteristics is conducive totraders and regulators to make appropriate decisions.This paper empirically analyzes the characteristics of the glass futures contract pricevolatility and its influencing factors, and the contact glass spot price and the futures contractbetween the contract price and the futures contract price and volume glass-depth research. Themain process is: the integrated use of the family model to explore glass futures contract pricevolatility characteristics; using stepwise regression and least squares estimation factors glassexplore the impact of futures price volatility; cointegration test causality test, error correctionmodel analysis of glass spot contracts Glass and long-term equilibrium relationship betweenfutures contracts; combining theoretical physics and elastic-plastic analysis of volume andprice relationship between futures investment theory, futures contract price and volume ofglass, and then guide the investors to invest in effective supervision practices and regulators.The full text of the main conclusions are as follows:1.This paper uses econometric analysis of quantitative GARCH models in economicsglass futures contract price fluctuation characteristics of time series, found that the glassfutures contract price volatility time series yields the existence of aggregation and leverage.2.In this paper, stepwise regression and least squares estimation, the main factorsaffecting the price of futures contracts glass empirical analysis found that the glass spotcommodity prices, futures contract volume of glass, glass to glass positions in futurescontracts futures prices were significantly impact, and where the impact of commodity priceson glass glass spot futures contract prices of the most basic and obvious, and by the timeseries stationary test, cointegration, error correction model, Granger test series analysis foundthat the glass futures prices and spot prices the existence of long-term equilibrium relationshipbetween the two, but there is no significant Granger causality.3.This article will combine theoretical physics elastic-plastic analysis in the field of investment in the futures market volume and price relations theory used to analyze therelationship between price and trading volume and open interest of futures contracts glassbetween. Eventually found that the glass does not exist in the futures market price elasticity,but there is the price of plastic.Among them, the study of price and volume of glass futures contract theory, theintroduction of theoretical physics in elastic-plastic, and apply the futures market, and in themodel taking into account the relationship between volume and open interest and pricebetween these is conventionally not have.