基于EMD-BEKK-GARCH模型的有色金属股票市场波动溢出研究  

An Empirical Study on Volatility Spillover of Non-ferrous Metal Stock Markets Based on EMD-BEKK-GARCH Model

作　　者：杨光 张丁漩 魏云捷[1,4] Yang Guang;Zhang Dingxuan;Wei YunJie(Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190;School of Mathematical Sciences,University of Chinese Academy of Sciences,Beijing 100190;School of Economics and Management,University of Chinese Academy of Sciences,Beijing 100190;Center for Forecasting Science,Chinese Academy of Sciences,Beijing 100190)

机构地区：[1]中国科学院数学与系统科学研究院,北京100190 [2]中国科学院大学数学科学学院,北京100190 [3]中国科学院大学经济与管理学院,北京100190 [4]中国科学院预测科学研究中心,北京100190

出　　处：《管理评论》2022年第12期39-48,共10页Management Review

基　　金：国家自然科学基金青年项目(71801213);国家自然科学基金面上项目(72171223);国家自然科学基金基础项目(71988101)

摘　　要：2020年1月新型冠状病毒肺炎疫情爆发,随着防控政策加强与停工停产,全球范围内实体经济受到冲击,中国的经济与金融市场受到巨大影响。作为有色金属资源生产与消费大国,中国的铅、锌、铝、铜等有色金属的金融市场受到疫情冲击,出现较大程度的下滑。为了研究疫情期间中国有色金属的股票市场之间风险波动溢出情况,本文选取了铝、铜、铅锌对应的股票市场指数,将经验模态分解(EMD)与BEKK-GARCH模型结合,从不同周期的角度对该问题进行探讨。结果表明铝、铜与铅锌之间在长期、中期与短期存在着不同程度的波动溢出。对比未分解序列的波动溢出情况,EMD提供了不同周期的信息,这加强了我们对市场之间关系的研究。The COVID-19 pneumonia epidemic broke out in January 2020.With the strengthening of the prevention and control policy and stop of production,the real economy in the worldwide was hit,and China’s economy and finance were greatly affected.As a major producer and consumer of non-ferrous metal,China’s financial market of non-ferrous metals such as lead,zinc,aluminum and copper has been impacted by the epidemic and declined to a large extent.To study the volatility spillover of China’s non-ferrous metal stock markets during the epidemic from the perspective of different timescale,this paper selects the stock market indexes of aluminum,copper and lead-zinc,and combines empirical mode decomposition(EMD)with BEKK-GARCH model.The results show that there are different degrees of volatility spillovers among aluminum,copper and lead-zinc in the long-term,medium-term and short-term.Comparing the volatility spillovers of undivided series,EMD provides more information of different timescale,which strengthens our research on the relationship between these markets.

关 键 词：新冠肺炎疫情 有色金属股票市场 经验模态分解 BEKK-GARCH 波动溢出 

分 类 号：F832.51[经济管理—金融学] F426.32F224