石油和汇率冲击下的中国金属价格波动行为

采用三个GARCH族中的两因素波动模型研究金、铜和铝在原油和汇率冲击下的价格波动行为。标准GARCH模型的结果表明铜和铝几乎有着一样的波动持续性且都比金的波动持续性强。CGARCH模型估计结果表明三种金属波动的短期成分收敛到0的速度由快到慢依次为:铝、金、铜。长期波动成分表明铝的长期波动持续性最弱,金的长期波动持续性最强,铜介于二者之间但与金相差很小。EGARCH结果表明只有铜存在杠杆效应而且显著。石油冲击对三种金属都有正影响,汇率的上升对金、铜和铝的波动都有减弱效应。另外,2008年金融危机加剧了金属价格的波动。研究结果可用于风险分析和金融衍生品估值。

Applications of nonferrous metal price volatility to prediction of China's stock market

The aim of the present work is to examine whether the price volatility of nonferrous metal futures can be used to predict the aggregate stock market returns in China. During a sample period from January of 2004 to December of 2011, empirical results show that the price volatility of basic nonferrous metals is a good predictor of value-weighted stock portfolio at various horizons in both in-sample and out-of-sample regressions. The predictive power of metal copper volatility is greater than that of aluminum. The results are robust to alternative measurements of variables and econometric approaches. After controlling several well-known macro pricing variables, the predictive power of copper volatility declines but remains statistically significant. Since the predictability exists only during our sample period, we conjecture that the stock market predictability by metal price volatility is partly driven by commodity financialization.

Structural changes and volatility correlation in nonferrous metal market

The GARCH and DCC-GARCH models are used to study the volatility aggregation and dynamic relevance of China’s three kinds of nonferrous metals （copper, aluminum and zinc） pricesincorporating structural changes. The results show that copper, aluminum and zinc returns have many structure breaks points, and nonferrous metals have the greatvolatilityrisk during financial crisis. From the resultsof GARCH with and without structural changes,it isfoundthat the volatility clustering of single nonferrous metal is overvalued when ignoring the structural mutation, and the return of aluminum isthe most overvalued, indicating that aluminum market is more susceptible to external shock.Furthermore,it is also foundthatdynamic volatility correlation exists in the three prices of nonferrous metals, and the structural changes have no significant effect on the volatility correlation of thethree nonferrous metals.

Prediction of metal futures price volatility and empirical analysis based on symbolic time series of high-frequency

The metal futures price fluctuation prediction model was constructed based on symbolic high-frequency time series using high-frequency data on the Shanghai Copper Futures Exchange from July 2014 to September 2018,and the sample was divided into 194 histogram time series employing symbolic time series.The next cycle was then predicted using the K-NN algorithm and exponential smoothing,respectively.The results show that the trend of the histogram of the copper futures earnings prediction is gentler than that of the actual histogram,the overall situation of the prediction results is better,and the overall fluctuation of the one-week earnings of the copper futures predicted and the actual volatility are largely the same.This shows that the results predicted by the K-NN algorithm are more accurate than those predicted by the exponential smoothing method.Based on the predicted one-week price fluctuations of copper futures,regulators and investors in China’s copper futures market can timely adjust their regulatory policies and investment strategies to control risks.

贵研铂业对绝大部分原材料进行了套期保值

贵研铂业11月29日称,公司已对绝大部分原材料进行了套期保值。贵金属价格的波动对公司生产经营有一定的影响,但影响有限。贵金属价格下跌在一定程度上会降低公司对运营资金的需求,相反贵金属价格的上涨会增加公司对运营资金的需求。贵金属原料中绝大部分通过期货市场进行套保,只有少量的原料散口会受到贵金属价格波动的直接影响。