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本文通过对沪铝和伦铝期货市场收益率的统计描述,对两个市场的收益率分布存在非正态性和自回归条件异方差的特性进行了研究,然后建立了GARCH族模型,实证检验了沪铝和伦铝期货市场收益率序列的波动性特征,对市场波动的聚集性进行了研究,并比较了两个市场波动聚集性的不同特征,结果表明两个市场的波动持续性较强,波动衰减较缓慢,且沪铝期货市场的有效性和定价效率较弱。
Based on the statistical description of the returns of Shanghai aluminum and Lunlun futures market, this paper studies the non-normal returns and heteroscedasticity of returns in the two markets, and then establishes the GARCH family model, empirical test The volatility characteristics of the yield series of the Shanghai aluminum and Lunlu futures markets, the concentration of the market volatility were studied and the different characteristics of the volatility aggregation of the two markets were compared. The results show that the volatility of the two markets is relatively strong , The fluctuation declines more slowly, and the effectiveness and pricing efficiency of the Shanghai aluminum futures market are weaker.