中文摘要：

基于1998年1月9日至2012年12月14日全国小麦、玉米和大豆的批发价格指数周数据，利用ARCH类模型对我国小麦、玉米和大豆的市场价格波动特征进行实证分析。研究结果表明：在5％的显著性水平下，小麦、玉米和大豆的市场价格波动具有明显的时变性和集簇性；玉米市场具有高风险、高回报的特征；小麦的市场价格波动具有非对称性；玉米市场与大豆市场之间存在显著的双向价格波动溢出效应。

英文摘要：

Based on the weekly data of national wholesale price index of wheat, corn and soybean from 9th January, 1998 to 14th December, 2012, this paper uses ARCH models to analyze empirically the characteristics of market price volatility of wheat,corn and soybean respectively. The results show that the volatilities of market prices of wheat,corn and soybean take on significant time-varying and clustering;corn market has the characteristics of high return and high risk; the volatility of market price of wheat is asymmetry; there is the significant double directional volatil- ity spillover effect between corn market and soybean market.