我国铜期货收益波动性分析.docVIP

PAGE PAGE 27 我国铜期货收益波动性分析 摘要 期货市场是资本市场不可或缺的重要组成部分，是中国经济市场化的一个重要内容就是期货市场健康发展和有效运行。但是近年来，随着全球化的冲击以及国内市场的发展，国内外的风险对我国期货市场造成了越来越大的冲击，导致期货价格波动剧烈。为了保证我国社会经济的平稳运行，研究期货的波动性特征就显得尤其重要。 本文选取我国上海期货交易所市场上市的铜期货作为研究对象。之所以选择铜期货，是因为铜期货是我国现阶段较为成熟的期货品种，市场的交易机制较为完善，交易活跃，成交量大。并且铜作为一种金属原材料，对我国的经济具有极其重要的意义。本文选取2004年10月18日到2014年10月17日共2425组最新铜期货日收益价格数据进行统计研究。并使用STATA软件构建GARCH族模型，对铜期货的收益率进行研究。通过实证研究发现数据具有“波动聚集”特征，存在显著GARCH效应。在模型构建完成之后，结果显示铜期货收益率具有很强的持续波动性，并且发现收益率波动具有明显的杠杆效应，实际表现为“利空消息”对市场与等量的“利好消息”相比有着更大的冲击力。 关键词：波动性，GARCH模型，铜期货 Abstract Futures market is an important integral of the capital market, and it is an important part of Chinas market economy to keep futures market healthily developing and efficiently operating. But in recent years, with the development of the domestic market as well as the impact of globalization, the risks of futures markets at home and abroad have caused a growing impact, resulting in the futures price volatility. In order to ensure the smooth operation of Chinas social and economic, researching the characteristics of the volatility of futures is especially important. This paper selects copper futures market, which is the listing futures of SHFE, as the research object. Because copper futures is a kind of futures that is more mature, and owns much more comprehensive market trading mechanism. In addition, copper as a metal raw materials is extremely important Chinas economy. And this paper adopted data from October 18th 2004 to October 17th 2014, which in total has 2425 group of data of latest copper futures’ daily returns data for statistical research. And by using the STATA software to build the GARCH family models and to yield copper futures research, data through empirical research has been found that volatility clustering feature, and there are significant GARCH effects among them. Copper futures yields are highly volatile, and volatility has significant leverage, bad news have more impact on the market than the same amount of good news. Keyword：Volatili