Structural changes and volatility correlation in nonferrous metal market  

有色金融市场中的结构突变和波动率相关性（英文）

作　　者：吴丹[1] 胡振华[1] 

机构地区：[1]中南大学商学院,长沙410083

出　　处：《Transactions of Nonferrous Metals Society of China》2016年第10期2784-2792,共9页中国有色金属学报（英文版）

基　　金：Project(71072079)supported by the National Natural Science Foundation of China

摘　　要：The GARCH and DCC-GARCH models are used to study the volatility aggregation and dynamic relevance of China’s three kinds of nonferrous metals （copper, aluminum and zinc） pricesincorporating structural changes. The results show that copper, aluminum and zinc returns have many structure breaks points, and nonferrous metals have the greatvolatilityrisk during financial crisis. From the resultsof GARCH with and without structural changes,it isfoundthat the volatility clustering of single nonferrous metal is overvalued when ignoring the structural mutation, and the return of aluminum isthe most overvalued, indicating that aluminum market is more susceptible to external shock.Furthermore,it is also foundthatdynamic volatility correlation exists in the three prices of nonferrous metals, and the structural changes have no significant effect on the volatility correlation of thethree nonferrous metals.通过分析加入结构突变和忽略结构突变的GARCH和DCC-GARCH模型,探究铜、铝和锌3种有色金属收益率之间的波动聚集性以及波动相关性。结果表明:铜、铝和锌收益率都存在多个结构突变点,并且金融危机期间有色金属的波动风险最大;忽略结构突变会使得单个有色金属价格的波动聚集被高估,而铝的波动聚集程度被高估程度大于其他两种有色金属价格,表明铝的收益率更容易受到突发事件引起的外部冲击的影响;有色金属价格之间存在明显的动态波动相关性,其中铝和锌之间的波动相关性最大,但结构突变对于有色金属之间的波动相关性并没有显著的影响。

关 键 词：copper ZINC ALUMINUM nonferrous metals price structural changes DCC-GARCH model volatilitydynamic correlation 

分 类 号：F224[经济管理—国民经济] F764.2