基于EGARCH-GED模型的中英铜期货风险溢出效应

Effects of Copper Futures' Risk Spillover Based on EGARCH-GED between SHFE and LME

使用GED分布的EGARCH模型对上海金属期货交易所与伦敦金属交易所铜期货多空市场的风险价值进行了测算,并据此利用Granger因果检验和脉冲响应函数检验了两市风险溢出效应。实证结果表明,在子样本1内95%和90%置信度下,两市期铜市场风险互为Granger原因;子样本1内99%置信度下、子样本2内3种置信度下以及总样本3种置信度下,伦敦金属交易所期铜市场风险是上海金属期货交易所期铜市场风险的Granger原因,但上海金属期货交易所期铜市场风险不是伦敦金属交易所期铜市场风险的Granger原因;面对一个标准新息冲击时,伦敦金属交易所对风险冲击有一个反复纠偏的过程,上海金属期货交易所则没有,从一定程度上说明了样本区间内国内经济形势好于国外。

This paper calculates the VaR of copper futures＇ market in SHFE and LME by using the EGARCH-GED model and then checks the spillover effects with Granger causality test and impulse re- sponse function.The empirical result shows that these two markets＇ risks are Granger causality for one another in sub-sample one under the confidence level of 95% and 90%,while only LME copper futures＇ market risk is the Granger causality of SHFE one in sub-sample one＇s 99 % confidence and in sub-sample two＇s and total samples are the all three confidence level.Meanwhile, LME has an interactive response but SHFE has not when facing a standard innovation, which indicates that domestic economic situation is better than that in foreign countries.