This paper studies the Zhengzhou Commodity Exchange(CZCE) wheat futures for nearly four years,the return rate,and GARCH effect.

• 本文研究了我国郑州商品交易所(CZCE)小麦期货近四年的收益序列,采用GARCH和EGARCH类模型描述分析了小麦期货收益的波动集群性和杠杆效应。