中文摘要：

国际化背景下,研究世界粮食价格波动特征对于中国从总体上把握国际粮食市场运行规律,正确地对市场风险做出判断并及时采取应对措施具有重大意义.本文通过对芝加哥期货交易所（CBOT）小麦、玉米、大豆和大米这四种期货产品2005—2012年价格收益率时间序列的研究,发现：国际粮食价格波动具有尖峰厚尾的非正态分布的特征;AIC和BIC信息准则结果显示,T分布能更好对模型进行估计;基于T分布的EGARCH模型实证结果表明,国际粮食期货价格存在显著集簇性和非对称性,但不同期货产品表现形式不一样,揭示不同期货品种的市场对“利好”和“利空”消息的反应存在差异.

英文摘要：

Under the internationalization background,it is of great importance for China to learn the features ofprice volatility of international grains,get a full picture of the grain market operation rules,and correctly estimatethe market risks and timely take the proper measures. By analyzing the CBOT future return time series of wheat,maize,soybeans and rice in the period of 2005-2012,this paper finds that the international price volatility has obvious characteristics of peak and fat tail non-normal distribution.The AIC and BIC information criterion indi-cates that T distribution can give a better models estimation. The estimation results of T distribution EGARCHmodel indicate that the international grain price volatility has the features of volatility clustering and asymmetry,but those features differ in products,which indicates differences in market maturity.