The Macroeconomic Influence of China Futures Market: A GARCH-MIDAS Approach

被引：0
|
作者：
Liu, Ruobing [1 ]
Yang, Jianhui [1 ]
Ruan, Chuanyang [2 ,3 ]
机构：
[1] South China Univ Technol, Sch Business Adm, Guangzhou 510640, Peoples R China
[2] Guangdong Univ Finance & Econ, Sch Business Adm, Guangzhou 510320, Peoples R China
[3] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai 200240, Peoples R China
来源：
ADVANCES IN HARMONY SEARCH, SOFT COMPUTING AND APPLICATIONS | 2020年 / 1063卷
关键词：
GARCH-MIDAS; China futures market; Macroeconomic fundamentals; Long-run variance; VOLATILITY; RETURN;
D O I：
10.1007/978-3-030-31967-0_28
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We revisit the relationship between the commodities futures market volatility and the macroeconomic factors, by employing the GARCH-MIDAS model, which can decompose the conditional variance into the secular and short-run component. We introduce the level or the variance of the macroeconomic variables into the GARCH-MIDAS model, to test the impact of the macroeconomic variables on the long-run variance. In the paper, we find the variance of PPI and IP has a more significant impact on the volatility of China commodities futures market than the level of the macroeconomic variables.
引用
收藏
页码：244 / 251
页数：8
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