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Analysis on Volatility of Copper and Aluminum Futures Market of China

  • Wang Shu-pingEmail author
  • Wang Zhen-wei
  • Wu Zhen-xin
Conference paper
Part of the Computational Risk Management book series (Comp. Risk Mgmt)

Abstract

The metal futures market is a typical nonlinear dynamic system. Using R/S method and FIEGARCH model, the paper study nonlinear characteristics and long-term memory of copper and aluminum futures market of China. The empirical results show that: the return series and volatility series of copper and aluminum futures have significant long-term memory, and the volatility leverage effect of copper futures is more obvious than aluminum futures. Furthermore, the copper futures prices respond vehemently to bad news. Testing find that FIEGARCH model is more suitable for the volatility analysis on copper and aluminum futures market of China.

Keywords

FIEGARCH model Leverage effect Long-term memory R/S method Risk 

Notes

Acknowledgments

This research is supported by the Humanities and Social Sciences Research Youth Project of Ministry of Education (08JC790004), and the Special Fund of Subject and Graduate Education of Beijing Municipal Education Commission (PXM2010_014212_093659).

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Copyright information

© Springer-Verlag Berlin Heidelberg 2011

Authors and Affiliations

  1. 1.School of Economics and ManagementNorth China University of TechnologyBeijingP.R. China

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