上海铝期货收益率及波动特性研究

A Study on the Earnings Yield and Volatility Characteristics of Aluminum Futures in Shanghai

通过对沪铝期货收益率序列实证模拟检验,指出了关于期货价格收益及波动特性研究中存在的一些问题。同时利用ARIMA(0,1,1)—GARCH(1,1)模型、TGARCH和EGARCH模型对收益率序列的波动性和杠杆效应进行了检验,发现收益率序列波动率是持久的,市场风险很大,而且沪铝期货市场上存在着显著的杠杆效应。

In this paper, by doing Shanghai aluminum futures earning yield series of empirical simulation testing, it is discovered, at this stage there are still some problems on the futures earning yield and volatility characteristics of income. At the same time, by doing the test of the futures earning yield and volatility characteristics with ARIMA（0, 1, 1） - GARCH（ 1, 1） modeI,TGARCH and EGARCH model, it is proved that volatility characteristics are long lasting, and there is a significant leverage effect on Shanghai aluminum futures market, which brings great market risk. All of this will give us a good guidance on a better understanding of the performance of the futures market and its operation rules.