Abstract
Research on price volatility is a basic and significant work for investment decision and risk management. Considering the short-term memory, seasonal effect, structural change associated with time, information effect, leverage effect and volatility clustering effect of the price volatility series, the article set up a piecewise seasonal-EGARCH-AR model, then measured the price volatility characteristics of China’s soybean futures around time of financial crisis using the model. The results showed that there exist the short-term memory, obvious leverage effect, asymmetric information effect and obvious volatility clustering effect in China’s soybean futures markets. In busy season, price volatility of soybean #1 and #2 slows down obviously, but prices volatility of soybean meal and soybean oil increase obviously. In addition, the structures and characteristics of price volatility series had changed obviously before and after the financial crisis. Key words: Soybean futures, dominant contracts, price volatility, piecewise seasonal-EGARCH-AR.
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