基于高频波动率的铜铝期货动态关联性研究  

Dynamic Relevance between Copper and Aluminum Futures based on High-frequency Volatility

作　　者：朱学红[1,2] 陈强[1] 谌金宇[1] 

机构地区：[1]中南大学商学院,长沙410083 [2]中南大学金属资源战略研究院,长沙410083

出　　处：《商业研究》2017年第2期50-57,共8页Commercial Research

基　　金：国家社会科学基金重大项目;项目编号:13&ZD169;教育部人文社会科学研究项目;项目编号:13YJAZH149;国家自然科学基金项目;项目编号:71573282;湖南省自然科学基金资助项目;项目编号:2015JJ2182;中南大学研究生自主探索创新基金项目;项目编号:2015zzts005

摘　　要：基于高频数据的时变跳跃性,本文选取2010-2015年上海期货交易所铜铝期货一分钟收盘价作为样本数据,将铜铝期货高频数据的已实现方差(RV)分解为连续样本路径方差(CV)和离散跳跃方差(JV),并运用DCC-MVGARCH模型分别计算连续样本路径方差和离散跳跃方差之间的动态相关系数。结果表明,铜铝期货高频波动率之间存在明显的正相关性,铜铝期货连续变差的相关性与跳跃变差的相关性在动态路径上存在显著性差异,并且前者的相关性程度要高于后者;受欧债危机等极端事件的影响,连续变差与跳跃变差的动态相关性均呈现出局部的高点。Based on the time-varying jump of high-frequency data,the one-minute closing price of copper-aluminum futures in Shanghai Futures Exchange from 2010 to 2015 is selected as sample data,and the realized variance（RV） of copper-aluminum futures high-frequency data is decomposed into continuous sample path variance（CV） and discrete jump variance（JV）.The DCC-MVGARCH model is used to calculate the dynamic correlation coefficients between the continuous sample path variance and the discrete jump variance.The results show that there is an obvious positive correlation between the volatility of copper and aluminum futures,the correlation between CV and JV is significantly different in dynamic path,and the former correlation degree is much higher than the latter;under the shock of extreme events such as the European debt crisis,the dynamic correlation between CV and JV reaches to a high point to some extent.

关 键 词：跳跃 已实现方差 期货市场 动态相关性 高频数据 

分 类 号：F830.93[经济管理—金融学]