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

Abstract

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

CLC Number:

F830.91

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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Forecasting and Modeling of China's Nonferrous Metal Futures Market Volatility Based on the Introduction of External shocks: Taking Copper as Example

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