摘要
选取2011年至2015年上海期货交易所铜期货价格指数日内每5分钟高频数据,建立VAR模型,分析沪铜期货价格长期的波动及其影响.从描述性统计量分析,沪铜期货价格高频波动率具有尖峰后尾的特征;格兰杰因果检验显示:资金流量和沪铜期货价格波动具有双向因果关系;脉冲响应函数和方差分解表明:沪铜期货价格波动具有长记忆性,成交量对沪铜期货价格具有较强的正向效应,持仓量对沪铜期货价格具有较弱的负向效应.
Based on the high frequency data of copper future price index every 5 minutes in Shanghai Futures Exchange from 2011 to 2015,this paper establishes VAR Model,and analyzes the long-term fluctuation and its influence. Through analysis of the descriptive statistics,the high frequency fluctuation rate of Shanghai copper futures has the characteristics of spikes; Granger causality test shows that the flow of funds and copper futures prices have a two-way causal relationship. Impulse response function and variance decomposition show that copper futures price fluctuations have long memory,and volume has a strong positive effect on the Shanghai copper futures prices. The amount of open interest has a weak negative effect.
作者
孙丽萍
Sun Liping(College of Mathematics and Statistics,Qujing Normal University Qujing Yunnan 655011,China)
出处
《曲靖师范学院学报》
2018年第3期19-24,共6页
Journal of Qujing Normal University
关键词
沪铜期货序列
高频波动率
分解
Shanghai copper futures prices
high frequency fluctuation
VAR model
作者简介
孙丽萍，曲靖师范学院数学与统计学院副教授，主要从事金融工程研究．
