Abstract
As a new futures product, whether the market of PTA is reliable is worth to study on. In this paper we use the data from Zhengzhou futures market from May 1st, 2007 to April 18th,2008 as study sample. After using ADF test and Johansen Co-integration variance test we find that the PTA market of Zhengzhou futures is steady and predictable. Through Granger causality test we find the relations between PTA futures price and spot price, in one week, futures price guided spot price, in two weeks, spot price guided futures price. We use GED Distribution hypothesis in CARCH(1,1) model to predict futures price, comparing with Multiple linear regression, the result of GARCH model is far more better when predicting in two weeks, and the error rate is less than 0.5%.
Keywords: Price Discovery, ADF test, Johansen Co-integration variance, Granger causality, GARCH(1,1) model
