摘要
为了研究我国钢铁期货市场的波动情况,本文运用SV类模型对其波动特征进行了分析比较。结果表明:我国钢铁期货波动具有较高的持续性和波动集聚性,存在明显的尖峰厚尾现象,可以采用厚尾SV模型对我国钢铁期货进行分析,ASV模型能够很好地拟合钢铁期货波动过程中存在的持续性和非对称性特征;利用随机波动模型求出的波动序列可以较好地计算VaR值;钢铁期货下跌信息所引发的波动,比价格上涨信息引发的波动更大;为平抑钢铁价格波动的影响,建议加强钢铁市场监测预警,加强政府对钢铁价格的宏观调控,完善钢铁市场体系建设,积极推行钢铁产业良好发展。
To study the fluctuations of China＇s steel futures market,we analyze the features of it by using SV models in this pa-per.Results show that prices of steel futures volatility have continuousness and clustering features.The SV-T model can be used to analyze the heavy tailed distribution.The ASV model can well describe the continuousness and＂leverage＂effect in the fluctua-tion of China＇s steel futures.The value of VaR can be calculated by stochastic volatility model and the sequence of volatility. Greater volatility can be caused by the declining of the price than the information of rising.To stabilize the fluctuations of steel price,it’s proposed to strengthen the monitoring and forecasting in the market of steel,strengthen the government＇s macro-con-trol on steel prices,improve the market system and promote the development of steel industry.
出处
《中国科技论文》
CAS
北大核心
2015年第17期2064-2067,共4页
China Sciencepaper
基金
国家自然科学基金资助项目(81271513)
关键词
钢铁期货
SV
模型
波动性
VAR
steel futures
SV model
fluctuation characteristics
VaR
