Fractional integration in agricultural futures price volatilities revisited
用新方法重新检验农业期货价格波动率的分数积分特征，确认波动率存在分数积分和条件异方差，并发现许多品种有显著杠杆效应，这是此前未报道的。
Abstract Jin and Frechette (2004) examined the degree to which agricultural price volatilities exhibited evidence of fractional integration and concluded it was important to consider both long‐run and short‐run memory when modeling conditional variances. The purpose of this note is to revisit the issue using new methods and techniques which generally reaffirm the view that return volatilities are fractionally integrated and conditionally heteroskedastic, with many exhibiting significant leverage effects, a result not previously reported.