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2011 | OriginalPaper | Chapter

Analysis on Volatility of Copper and Aluminum Futures Market of China

Authors : Wang Shu-ping, Wang Zhen-wei, Wu Zhen-xin

Published in: Modeling Risk Management for Resources and Environment in China

Publisher: Springer Berlin Heidelberg

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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.

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previous chapter A Preliminary Evaluation of China’s Implementation Progress in Energy Intensity Targets
next chapter The Evaluation of Hydraulic Engineering Scheme Based on Choquet Fuzzy Integral
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Metadata
Title
Analysis on Volatility of Copper and Aluminum Futures Market of China
Authors
Wang Shu-ping
Wang Zhen-wei
Wu Zhen-xin
Copyright Year
2011
Publisher
Springer Berlin Heidelberg
Book
Modeling Risk Management for Resources and Environment in China

Print ISBN: 978-3-642-18386-7

Electronic ISBN: 978-3-642-18387-4

Copyright Year: 2011

DOI
https://doi.org/10.1007/978-3-642-18387-4_48