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本文构建了Realized Copula-DCC模型,整合Realized GARCH模型和Copula-DCC模型对农产品期货的波动率和动态相关性进行研究。农产品期货不仅表现出波动聚类现象、偏斜和尖峰厚尾的特征,还呈现出非正态性。基于Skewed-t分布的Realized GARCH模型比其他模型更好地刻画了农产品期货的波动率特征。农产品期货的相关性呈现出动态变化,tCopula-DCC模型比其他时变Copula模型更好地反映了农产品期货相关性的动态演化过程。
Abstract：The paper constructed the Realized Copula-DCC model, and studied on the volatility and dynamic correlation of agricultural futures by integrating Realized GARCH model and Copula-DCC model. Agricultural futures not only presented the characteristics of volatility clustering, skewness and fat-tail, but also appeared non-normality. The Realized GARCH model based on Skewed-t distribution better depicted the volatility of agricultural futures than other models. The correlation of agricultural futures showed dynamic changes, t Copula-DCC model better reflected the dynamic evolution process of the correlation of agricultural futures than other time-varying Copula models.
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基本信息:
DOI：10.14167/j.zjss.2013.05.001
中图分类号:F224;F323.7;F724.5
引用信息:
[1]黄雯,黄卓,王天一.高频农产品期货波动率和相关性预测——基于Realized Copula-DCC模型的视角[J].浙江社会科学,2013,No.201(05):40-47+156.DOI:10.14167/j.zjss.2013.05.001.
基金信息:
教育部人文社会科学青年基金(项目编号71201001);; 国家自然科学青年基金(项目编号71201001)的资助
2013-05-15
2013-05-15