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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。
The two-factor volatility model among the three GARCH groups was used to study the price volatility of gold, copper and aluminum under the impact of crude oil and exchange rate. The results of the standard GARCH model show that copper and aluminum have almost the same volatility persistence and are both more persistent than gold volatility. The results of CGARCH model show that the short-term components of the three metal fluctuations converge to 0 from high to low in the order of aluminum, gold and copper. Long-term volatility shows that aluminum has the weakest long-term volatility, gold has the strongest persistent long-term volatility, copper is in between the two but with little difference from gold. EGARCH results show that only copper has a leverage effect and is significant. Oil shocks have a positive effect on all three metals, and rising exchange rates have a weaker effect on the volatility of gold, copper and aluminum. In addition, the financial crisis in 2008 exacerbated the volatility of metal prices. The results can be used for risk analysis and financial derivatives valuation.