Fractional Integration in Agricultural Futures Price Volatilities
检验了14种农产品期货价格波动率是否存在分数阶积分，发现波动率序列具有强长期依赖性，且FIGARCH模型比传统GARCH模型拟合效果更好。
This article tests whether the volatility of agricultural futures prices exhibits fractional integration. Volatility series were constructed for fourteen agricultural futures price series with over 5,300 observations per series. The volatility series exhibit strong long‐term dependence, which is an indicator of fractional integration. A fractional integration model, FIGARCH(1, d , 1), performs significantly better than a traditional volatility model, GARCH(1,1), in modeling agricultural futures price volatility.