铜期货市场收益波动规律研究  

Research on the Fluctuation Rules of Copper Futures Market Returns

作　　者：王新宇[1] 孙骐 

机构地区：[1]中国矿业大学管理学院

出　　处：《价格理论与实践》2017年第12期106-109,共4页Price:Theory & Practice

摘　　要：本文使用混频数据抽样广义自回归条件异方差(GARCH-MIDAS)模型,分析低频月度铜供需关系和制造业的宏观状态对我国铜期货高频日度收益率波动的影响。研究结果表明:铜供需关系的水平值和波动率及制造业状态的水平值对我国铜期货收益率的波动率有显著影响;但制造业状态的波动率对我国铜期货收益波动率的影响不显著。另外,GARCH-MIDAS模型在期铜收益波动率及市场风险预测方面均取得较好的效果。This paper analyzes the impacts of the low-frequency monthly manufacturing macroscopical status and supply and demand relationship of copper on the volatility of high-frequency daily China＇s copper futures return by using generalized autoregressive conditional heteroskedasticity model with mixed data sampling（GARCH-MIDAS）. The results of research show that the level and volatility of copper supply and demand and the level of manufacturing status have significant effects on the volatility of China＇s copper futures return, but the effect of volatility of manufacturing status on the volatility of China＇s copper futures return is not significant. In addition, GARCH-MIDAS model has good effect on the forecasts of the volatility and market risk of copper futures return.

关 键 词：GARCH-MIDAS 混频数据 铜期货 波动率 市场风险 

分 类 号：F224[经济管理—国民经济] F724.5F764.2