摘要
通过利用FIEGARCH模型和FIGARCH模型实证分析了上交所的铝、铜、燃料油和天胶四种期货品种波动率的长记忆性和杠杆效应。结论显示,所有期货品种的价格波动率均存在显著的长期记忆性,沪铜期货的价格波动率不存在非对称性,其余三个期货品种均存在对正负干扰反应的非对称性,即价格对同等程度的利好消息反应更为强烈,因此FIEGARCH模型比FIGARCH模型具有更好的模拟效果。
This paper analyzes the long memory property and leverage effect of volatility of aluminum, copper, fuel oil and natural rubber in Shanghai futures market using models of FIGARCH and FIEGARCH. Results reveal that there exists significantly long memory property in volatility of the four futures varieties. Leverage effect of copper futures is not significant. Other futures have the asymmetry of positive and negative disturbance, that is their prices more strongly respond to equal degree good news. So simulating effect of FIEGARCH is better than FIGARCH.
基金
国家自然科学基金项目<流动性调整期望损失La-ES和最优变现策略>(70671025)
