Copper Earnings Volatility Of Empirical Research

Since the financial crisis,the relationship of global copper supply and demand has been changing rapidly.International copper prices fluctuate greatly.In this context,the study of China's copper futures yield rate volatility has important practical significance.This paper started from the actual characteristics of the copper market,and analyzed the statistical characteristics of copper yield rate time series at first.According to the statistical characteristics of copper,this paper used empirical research methods,analyzed copper yield rate time series volatility characteristics,and looked for the econometric models which would accurately reflect these characteristics.Through the analysis of copper time series' characteristics,we found that copper yield rate time series had peak fat-tail characteristic,volatility clustering characteristic and obvious ARCH effect.On this basis,further,the paper used GARCH models and stochastic volatility models to simulate the volatility characteristics of copper yield rates,and compared model goodness of those two types respectively.The results indicated that in these two types of models,the EGARCH-M model and the leverage stochastic volatility model had better fitting results.At the same time,to the volatility of copper yield rates characteristics,two types of models came to the same empirical results.According to the empirical research results,this paper presented policy recommendations as following:strict risk management system should be implemented in order to avoid the increase volatility caused by speculative transitions.Relevant laws and regulations should be improved,which could make copper future market more orderly.Investors' education should be enhanced to increase their risk consciousness.