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通过分析加入结构突变和忽略结构突变的GARCH和DCC-GARCH模型,探究铜、铝和锌3种有色金属收益率之间的波动聚集性以及波动相关性。结果表明:铜、铝和锌收益率都存在多个结构突变点,并且金融危机期间有色金属的波动风险最大;忽略结构突变会使得单个有色金属价格的波动聚集被高估,而铝的波动聚集程度被高估程度大于其他两种有色金属价格,表明铝的收益率更容易受到突发事件引起的外部冲击的影响;有色金属价格之间存在明显的动态波动相关性,其中铝和锌之间的波动相关性最大,但结构突变对于有色金属之间的波动相关性并没有显著的影响。
By analyzing the GARCH and DCC-GARCH models with structural mutations and ignoring structural mutations, the paper studies the volatility and volatility of the returns of copper, aluminum and zinc. The results show that there are many structural abrupt changes in the yields of copper, aluminum and zinc, and the risk of nonferrous metals fluctuates most during the financial crisis. Neglecting the structural mutations will make the volatility accumulation of single nonferrous metal price overestimated, while the fluctuation of aluminum concentration The degree of overvaluation is greater than the prices of the other two non-ferrous metals, indicating that the return rate of aluminum is more vulnerable to external shocks caused by emergencies; there is a significant dynamic fluctuation correlation between the prices of non-ferrous metals, among aluminum and zinc Had the highest volatility correlation, but the structural mutation had no significant effect on the volatility correlation between non-ferrous metals.