The Frontiers of Society, Science and Technology, 2024, 6(9); doi: 10.25236/FSST.2024.060903.
Aihua Wang1, Genxuan Jia1, Zhaoxuan Mao2, Danjun Chen3
1College of Business and Economics, Shanghai Business School, Shanghai, China
2Shenzhen Diankuan Network Technology Co., Ltd., Shenzhen, China
3Hanshan Normal University, Chaozhou, Guangdong, China
This paper aims to conduct an in-depth study of the relationship between Chinese and American soybean futures prices using GARCH and DCC-GARCH models. The data are sourced from the Dalian Commodity Exchange (DCE) and the Chicago Board of Trade (CBOT), covering the period from January 4, 1999, to September 14, 2023. Through model analysis, we find that the volatility of soybean futures prices in China and the USA is persistent and exhibits strong dynamic correlation, which varies over time. These findings are significant for understanding the dynamics and risks of the global soybean market.
Futures Prices, Dynamic Correlation, GARCH Model
Aihua Wang, Genxuan Jia, Zhaoxuan Mao, Danjun Chen. Study on the Relationship between Chinese and American Soybean Futures Prices Based on GARCH and DCC-GARCH Models. The Frontiers of Society, Science and Technology (2024), Vol. 6, Issue 9: 15-20. https://doi.org/10.25236/FSST.2024.060903.
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