Research On Volatility Characters In Spot Price Of Iron Ore

This paper begins with the analysis of China’s iron ore spot prices fluctuation statistical characteristics, based on the basic statistics, stationarity and correlation analysis of62%domestic powder ore, imported powder ore, imported lump ore spot prices index daily return series, and points out that the three kinds of iron ore spot prices index daily return series have peak and fat tails. Then the iron ore spot prices low order regression model is established. On the basis of quantitative research and qualitative analysis combined with the analysis of the iron ore spot prices fluctuation characteristics, the fractal market theory R/S methods, autoregressive conditional heteroscedasticity (ARCH) model group and vector autoregressive (VAR) model be used for the study of the three main characters of iron ore spot prices fluctuations-inverse state persistence, long memory and leverage effect, the correlation of domestic iron ore and imported iron ore price volatility, and according to the spot iron ore price volatility, explain our country iron ore market economy immanent cause, for our iron and steel industry and iron ore industry in dealing with iron ore price index pricing mode trend to provide the theory reference.