我国有色金属期货波动溢出效应研究--以SHFE的铜和铝为例

Research on Volatility Spillover Effect of Chinese Nonferrous Futures:Taking SHFE Copper and Aluminum as an Example

金融市场中的波动溢出效应研究对资产组合配置、金融风险防范以及相关政策制定具有重要意义。鉴于此,以上海期货交易所(SHFE)的期铜和期铝为例,运用多变量GARCH-BEKK模型研究了我国有色金属期货之间的波动溢出关系,并分别在标准残差服从正态分布和学生t-分布假设下,进行模型拟合效果检验。研究结果表明,期铜和期铝收益率序列存在显著的条件异方差特征,两者之间存在较强的双向波动溢出效应,t-分布假设下GARCH-BEKK模型拟合效果更好。

Study on volatility spillover in financial markets is important for portfolio allocation, financial risk prevention, and related policy making. The paper studies the volatility spillover effect of Chinese nonferrous futures based on muhivariable GARCH-BEKK model, SHFE Copper and Aluminum as an example. Assuming that standard residuals obey normal distribution or t-distribution, respectively, and effect test of model fitting is conducted. The results show that return series of Copper and Aluminum futures have significant conditional heteroscedasticity features; the bidirectional volatility spillover relation is found between Copper and Aluminum; when standard residuals follow t-distribution, model fitting is better.