基于GARCH、EGARCH模型的LME镍期货价格波动集聚性实证分析

Volatility Clustering Empirical Analysis of LME Nickel Price Based on EGARCH Model

镍是经济发展的重要资源,是伦敦金属交易所(LME)六大交易品种之一。讨论LME镍期货价格波动规律,有助于更科学合理地预测镍期货市场行情,把握国际镍期货市场风险。1980年1月—2014年12月LME镍期货价格时间序列具有明显的随机游走趋势与自相关关系,LME镍期货市场为弱式有效。镍期货价格序列存在ARCH效应,GARCH(1,1)模型计量结果显示其具有波动集聚性特征,反映出波动的外部冲击对市场的影响具有长期性,EGARCH(1,1)模型计量结果显示镍价格序列波动的非对称性特征,但利好信息、利空信息对镍价冲击的杠杆效应很弱,有助于揭示镍期货市场风险规律与投资策略。

Nickel is an important resource for economic development and one of six major trading varieties at London Metal Exchange （LME）. Research on LME Nickel futures price volatility contributes to a more scientific and rational way to predict the nickel futures market and avoid futures market risk. LME Nickel futures price time series from January 1980 to February 2015 reveals obvious random walk trends and self-correlation, whichindicates that LME Nickel future smarket is efficient in a weak form. ARCH effects exist in price series. GARCH （1,1） model shows that it has volatility clustering characteristics while the impact of external shocks and volatility on the market shows long-term nature. EGARCH（1,1） model indicates that the nickel price series has volatility asymmetric features and weak leverage effect, for the negative impact of returns surprises does not definitely exceed positive impact, which helps to reveal the laws of nickel futures market risk and investment strategy.