黄金期货与白银期货的动态相关性研究——基于GJR-MRS-SJC-Copula模型的分析
The Dynamic Correlation Of China's Gold Future and Silver Future——Based on GJR-MRS-SJC-Copula Model
赵海涛 1曾树峰 1吴含英 1孟令捷 2任瑞1
作者信息
- 1. 云南省贵金属新材料控股集团股份有限公司 昆明 650106
- 2. 渤海银行昆明分行 昆明 650100
- 折叠
摘要
金银期货具有"尖峰厚尾"、波动聚集、有偏和非对称等特征.文章通过构建ARMA(p,q)-GJR-SkT模型刻画金银期货的边缘分布,接着引入Markov状态转换的MRS-SJC-Copula模型考察上期所金银期货主力合约间的动态相关性及结构.结果表明,金银期货间存在有偏和非对称等特征,同时都具有负向"杠杆效应",其相依结构是动态变化的,且持续存在高低两种不同状态的概率转换;利空消息对当期金银期货的冲击较大,且下跌带来的冲击要大于上涨产生的影响;动态联动性的内部结构显示金银期货收益率受过去信息的持续影响,同时各自的基差变化对动态相关性影响显著;突发事件的冲击会使金银期货的上下尾发生结构突变,引发风险传染.
Abstract
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.
关键词
金银期货/GJR-MRS-SJC-Copula模型/动态联动性/结构突变Key words
Gold Future and Silver Future/GJR-MRS-SJC-Copula Model/Dynamic Linkage/Structural Mutation引用本文复制引用
出版年
2024
NETL
NSTL
万方数据