Research On Long Memory In Chinese Copper And Aluminum Futures Price Volatility

With the gradually fading of the financial crisis in 2008, the global economy started to revive slowly, the market demand for non-ferrous metals is increasing, which make the futures prices raise continually. China is the leading global consumer of copper and aluminum, and the futures market price of copper and aluminum make great influence and impact on spot market in China, therefore it is necessary to study the volatility of futures prices deeply and prevent market risks effectively, which also can help get access to commodity pricing.The purpose of this paper is to carry out long-term memory test on the volatility of copper and aluminum futures market prices when the global commodity prices continued to rise, in order to reduce the underlying asset's market risk and volatility. The main research contents are listed as follows. Applying FIGARCH model to fit the return series of copper and aluminum futures prices respectively, the results showed that volatility series of copper and aluminum exist significant long-term memory. Applying FIEGARCH model to predict rate series of volatility, on this basis we can find that the volatility of copper is more significant and has leverage effect sequence reaction of bad news. In addition, it is found that after the model comparison ARFIMA-FIEGARCH is more suitable for China's copper and aluminum futures market volatility analysis.The main conclusion of this paper is as follows. The volatility of copper and aluminum futures prices reflect the significant rate of long-term memory, and response to positive and negative interference of information is not asymmetric. Based on the above considerations, it is necessary to strengthen regulation of futures market information disclosure and increase the professional quality of retirement investors gradually, which will help suppress the volatility of futures prices, and thus guard against market risks. Appropriate consideration of the use of fractal parameters in asset pricing and the use of appropriate investment portfolio can help increase the value of the assets.