Application Of Copula-SV Model In Calendar-spread Arbitrary Of Soybean Futures

China is a big agricultural country.The stability of agriculture product price accelerates the agriculture modernization procedure and helps farmers get rid of poverty and achieve prosperity.As the first agriculture commodity futures,soybean futures develops for more than 10 yeas,and has been a mature product in Chinese market.but domestic company is lack of the ability of using derivation market to hedging and making risk management.Especially when china has been the biggest soybean importer,a reasonable hedging model is crucial.In previous researches,the analysis methods of soybean futures arbitrage work at GARCH or ECM models,whose assumption are difficult to fit.Since the SV model can be a better depiction for the heteroscedasticity data,this paper uses SV model to estimate the marginal distribution of the futures contract yield data firstly,and then uses the copula model to estimate the joint distribution.Specifically,this paper matches long-term contracts of soybean futures with short-term one and gives paired data stationary test and cointegration test,then the parameters of SV model are obtained by using the WIBUGS.On this basis,set the opening and closing the arbitrage strategy and stop method.at last,give an empirical test of the model.The result shows with expansion of arbitrage interval,arbitrage model yields and percentage increase,its performance is far higher than the general market arbitrage model,which proves the market model good applicability.In summary,this paper through theoretical study and computer simulation of the arbitrage model of soybean futures cross conducted in-depth research,to ease the situation is too strict for soybean futures trading model data over the past literature,but also enrich the application of soybean futures arbitrage model in the market of our country.