The Dynamic Correlation Of China's Gold Future and Silver Future——Based on GJR-MRS-SJC-Copula Model
Gold and Silver futures have the characteristics of"Fat tail with spikes",volatility aggregation,bias and asymmetry.Firstly,we describe the marginal distribution of gold and silver futures with ARMA(p,q)-GJR-SkT model;Then,we use the MRS-SJC-Copula model which converted from Markov State to investigate the path evolution relationship and structure of the main contracts of gold and silver futures in Shanghai Futures Exchange.The result shows that bias and asymmetry is existed between gold and silver futures,meanwhile a negative"Leverage"is also existed.Its path dependence structure is dynamic and varying,and the probabilities of upward trend and down-ward trend would convert continuously.The impact of negative news on gold and silver futures is bigger,and the falling impact is greater than the rising impact;The internal structure of the dynamic linkage shows that the return of Gold and Silver futures is continuously influenced by previous news,at the same time,the change of futures basis for Gold and Silver has a significant effect on the dynamic linkage,and the influence of emergency will cause the structure of Gold and Silver futures to mutate abruptly and cause risk infection.
Gold Future and Silver FutureGJR-MRS-SJC-Copula ModelDynamic LinkageStructural Mutation
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