Autoregressive conditional heteroscedasticity in commodity spot prices
基于Muth的理性预期模型，提出库存结转会导致商品价格产生ARCH过程，并用20种商品数据检验发现可储存商品存在ARCH，但预期价格方差对价格无显著影响。
Abstract Muth's ( 1961 ) rational expectations model of commodity markets implies that inventory carryover creates ARCH processes in prices. The model also indicates that the expected price variance is an explanatory variable in price regressions. Hypotheses were tested on price data of twenty commodities using a variation of Engle et al. ( 1987 ) ARCH–M technique. An ARCH process was found in storable and not in non‐storable commodity data, as expected. However, changes in expected price variance have no significant impact on price. Copyright © 2001 John Wiley & Sons, Ltd.