沪铜期货价格高频波动率及影响分析——基于马尔科夫状态转换模型  

Analysis about High-frequency volatility and Impact of Shanghai copper futures price——based on Markov state transformation model

作　　者：孙丽萍 杨筠[2] Sun Liping;Yang Jun(School of Mathematics and Statistics, Qujing Normal University,Qujing Yunnan 655011,China;School of Economics and Management,Neijiang Normal University,Neijiang Sichuan 641112,China)

机构地区：[1]曲靖师范学院数学与统计学院,云南曲靖655011 [2]内江师范学院经济与管理学院,四川内江641112

出　　处：《曲靖师范学院学报》2019年第3期1-6,共6页Journal of Qujing Normal University

摘　　要：将沪铜期货价格分为上涨和下跌两种情形,应用RS-EGARCH,将沪铜期货收益率分为高和低两种波动状态,从动态角度阐释沪铜期货价格的波动特性.结果显示:沪铜的收益率序列具有较强的滞后效应;成交量对收益率有正向影响,持仓量对其有负向影响;无论沪铜期货价格是上涨还是下跌,收益率序列在低状态时持续期较长,在高状态时持续期较短;条件方差方程中的杠杆系数值为正值,表明利空消息对价格波动产生较大的冲击.This article divides the price of Shanghai copper futures into two categories: rising and falling, apply RS-GARCH modeling ,further its yield is divided into two types of high and low volatility, explain the fluctuation characteristics of Shanghai copper futures price from a dynamic perspective.The results show:Shanghai copper s yield has a strong lag effect;the volume of transactions has a positive effect on the yield, and the open interest has a negative impact on it;whether the price of Shanghai copper futures is up or down,yield fluctuations are longer in the low state and shorter in the high state;the positive value of the leverage factor indicates that the bad news has a greater impact on price fluctuations.

关 键 词：期铜价格 波动率 RS-EGARCH模型 

分 类 号：F224[经济管理—国民经济] F724.5