引入外部冲击的中国铜期货市场高频波动率建模与预测

doi:10.16381/j.cnki.issn1003-207x.2018.09.006

摘要/Abstract

摘要： 在中国经济逐渐全球化的背景下，引入外部冲击对中国有色金属期货市场的高频波动率进行建模和预测，有利于提高对中国有色金属价格波动的预测能力。本文将外部冲击信息引入HAR-RV-CJN模型，以中国上海期货交易所铜期货高频数据样本为例，对模型的拟合效果进行实证检验，并基于自举法的SPA检验，评估高频波动率模型的预测精度。结果表明，外部冲击变量在长期内对期铜已实现波动率的预测产生重要影响，引入外部冲击信息后的HAR-RV-CJN-ES模型相比于HAR-RV-CJ模型和HAR-RV-CJN模型，拟合效果和预测精度在长期都有了显著提高。

关键词: 铜期货市场, 外部冲击, 高频波动率, 预测

Abstract: In the context of China's gradual globalization of economy, to bring in external shocks for volatility modeling of China's nonferrous metal futures market is beneficial for improving the forecast of China's nonferrousmetal price volatility.Taking the high-frequency data samples of copper futures in Shanghai Futures Exchange as an example, the fitting effect of the new HAR-RV-CJN-ES model into which external shocks have been introduced is tested. Besides, the predictive accuracy of the volatility model is also evaluated by using bootstrapping SPA test.The results show that external shocks have great impact on the forecast of realized volatility of copper futures in the long term. Compared with the HAR-RV-CJ model and the HAR-RV-CJN Model, the HAR-RV-CJN-ES model with external shockshas significantly improve the fitting effect and prediction accuracy in the long run.

Key words: copper futures market, external shocks, high frequencyvolatility, forecasting

中图分类号:

F830.91

朱学红, 邹佳纹, 韩飞燕, 谌金宇. 引入外部冲击的中国铜期货市场高频波动率建模与预测[J]. 中国管理科学, 2018, 26(9): 52-61.

ZHU Xue-hong, ZOU Jia-wen, HAN Fei-yan, CHEN Jin-yu. Forecasting and Modeling of China's Nonferrous Metal Futures Market Volatility Based on the Introduction of External shocks: Taking Copper as Example[J]. Chinese Journal of Management Science, 2018, 26(9): 52-61.

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