基于DCC-GARCH模型的金属期货市场与外汇、货币市场的动态相关性研究  

The Dynamic Conditional Correlation between Metals Futures Markets and Exchange Markets or Money Market Based on DCC-GARCH Model

作　　者：胡东滨[1] 张展英[1] 

机构地区：[1]中南大学商学院,湖南长沙410083

出　　处：《数理统计与管理》2012年第5期906-914,共9页Journal of Applied Statistics and Management

基　　金："十一五"国家科技支撑计划项目(2006BAB08B00;2006BAB08B03)

摘　　要：在本文中主要是把DCC-GARCH模型,引入到金属期货市场分别与外汇市场和货币市场之间的动态相关性领域进行研究。通过对LME铜分别与RMB/USD、USD/EU、JPY/USD三个汇率之间的动态相关性研究,研究结果表明:金属期货市场与外汇市场之间有一定的动态相关性,但是不是很强烈;通过对LME铜分别与RMB-USD、USD-EU、JPY-/USD三个利差变化率之间的动态相关性研究,结果表明:金属期货市场与货币市场之间的动态相关性并不明显。This paper mainly explores the dynamic conditional relationship between metals futures markets and exchange rates, between metals futures markets and interest rates using DCC analysis, a multivariate GARCH method. It shows that the correlation is dynamic between the LME copper and the exchange rates of RMB/USD, USD/EU, JPY/USD, but not very obviously. The dynamic conditional correlation is not exist between metals futures markets and money markets, through our research between LME copper and three interest rates differential： RMB-USD, USD-EU, JPY-/USD.

关 键 词：动态相关性 DCC—GARCH模型 金属期货 利率 汇率 

分 类 号：F062.14[经济管理—政治经济学] O212[理学—概率论与数理统计]