Research On The Price Volatility Of China Copper Futures Based On GARCH Models

The futures market, which has experienced nearly one hundred years ofdevelopment and gradual improvement, has became an important option forrisk-averse investors. In the recent years, China’s futures market have made arapid development, making it to be the world’s fastest growing futures markets.The copper futures has always been one of the most popular commodity in theShanghai Futures Exchange markets ever since its establishment. Acctuallyour country is a big consumer of copper resources. The developing industryhave made a huge demand for the copper raw materials, while at the sametime our country is facing a huge shortage of resources. The wholeunderground reserves of copper resources are far unable to meet its hugedemand, and the huge shortage has became a disadvantage in the rapiddevelopment of our economy. In this situation, the fluctuations of the copperprice in domestic and international has become a risky factor that can threatenour steady economic development.This paper reviews the related works of domestic and foreign scholarswho study fluctuations of the capital market in the literature. Then I points outtheir deficiencies that the domestic copper futures prices did not form acomprehensive summary of the system. Subsequently, the article introducedGARCH models and screened the copper futures daily settlement price datafrom January1,2011to March31,2015in the Shanghai Futures Exchange,then expanded the analysis. First, I made a simple statistical data analysis,and then a series of necessary testing. Finally I formulated GARCH models toanalyze the price data, in order to find the rule of the price volatility of chinacopper futures.