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本文运用BEKK-GARCH、脉冲函数模型研究LME和SHFE锌期货市场的收益均值、波动和成交量的信息传递关系,速度与持久度。发现两个市场存在显著的均值,波动溢出效应。但是从LME到SHFE的均值信息传递速度较快,而从SHFE到LME的均值信息传递要滞后2期。两个市场的波动信息传递需要3天。运用二元GARCH,脉冲反应函数模型是本文的扩展。
This paper uses the BEKK-GARCH, impulsive function model to study the information transfer relationship, speed and duration of the return, volatility and volume of the LME and SHFE zinc futures markets. The two markets are found to have significant mean and volatility spillover effects. However, the average information transfer from LME to SHFE is faster, while the mean information transfer from SHFE to LME lags behind by 2 periods. It takes 3 days for the two markets to transfer their volatility information. Using binary GARCH, impulse response function model is an extension of this paper.