Research on Shanghai and London futures Copper Earning Rate Volatility Risk Characteristics

摘要：

This article researches the Shanghai and Londons copper futures return and volatility with several GARCH models and multivariate GARCH models based on GED.The study shows that the two markets futures copper volatility has long-term memory,a positive risk premium and a significant leverage effect.The Value at Risk(VaR)has volatility persistence,and the volatility of Shanghai is greater than that of London.The futures copper of Shanghai have violent volatility to good news and to some extent volatility have spillover effects on the futures copper of London.It brings more and more important influences to the international copper pricing system.

关键词： earning rate asymmetric volatility spill-over effect multivariate GARCH model

作者: Ru-yin Long Wang Lei

作者单位: School of Management,China University of Mining and Technology,XuZhou,Jiangsu,221008

会议类型: 国际会议

会议名称: 2008 International Conference on System Management(2008年系统管理学术研讨会)(2008 CSM)

会议地点: 上海

会议语种:英文

页码: 355-361

在线出版日期: 2008-05-30（万方平台首次上网日期，不代表论文的发表时间）