上海金属期货市场的非线性波动特征研究

期货市场是一个典型的非线性动力系统,通过对上海期货交易所(SHFE)的铜、铝期货合约进行非线性波动特征检验,采用基于GED(广义误差分布)的GARCH族模型考察期货收益率的ARCH效应、杠杆效应,并用R/S分析法检验期货收益率和波动率的长期记忆性,得到的实证结果表明:铜、铝期货价格波动有明显的集丛性,铜期货收益率波动没有"杠杆效应",而对铝期货来说,"利好"对条件方差的冲击大于"利空"的冲击.R/S分析结果显示:铜、铝期货收益率均呈现长期记忆性,铜期货有一个约43个日历月的非周期循环,而铝期货并没有明显的非周期循环.更重要的是,实证结果表明期货收益波动率有明显的长期记忆性,因此,在对期货市场波动率建模时应充分考虑这一点.

Study on Nonlinear Fluctuation Characteristics in Shanghai Metal Futures Market

Futures market is a typical nonlinear dynamics system.This paper examines the nonlinear fluctuant characteristics of copper and aluminum futures in Shanghai Futures Exchange(SHFE).We investigate the ARCH effect,leverage effect using GARCH series models based on GED(Generalized Error Distribution) and examines the long memory effect of futures returns and volatility using R/S analysis method.Results indicate that the fluctuation of the two futures prices is with strong clustering.there is no leverage effect ...