国内铜期货市场波动的ARCH模型分析  

作　　者：胡亦盛[1] 袁畅[1] 

机构地区：[1]浙江工业大学,浙江杭州310023

出　　处：《现代物业（中旬刊）》2010年第6期16-17,20,共3页Modern Property Management

摘　　要：本文以上海期货交易所2000-2009的2421日期货铜收盘价为样本,运用ARCH类模型对我国期货铜价格的波动率进行了研究。研究结果表明,我国的期货铜市场存在显著ARCH效应,价格对信息的反应存在滞后,收益率对风险不敏感。为此,应该进一步规范期货铜的市场行为,提高市场透明度同时要大力培养机构投资者和投资基金,为铜期货市场引入理性投资力量。In this paper,we use the sample of 2000-2009 Shanghai Futures Exchange copper futures closing price,and ARCH type models to study our futures price volatility of copper.The results show that there are significant ARCH effects in the copper futures market of China;the price react lagged to the information;the rate of return is not sensitive to risk.Therefore we should further regulate the copper futures market behavior;enhance market transparency;and at the same time vigorously cultivate institutional investors and investment funds;import rational investments for the copper futures market.

关 键 词：期货铜 ARCH模型 GARCH模型 波动性 

分 类 号：F224[经济管理—国民经济] F724.5