Study On The Influence Of Fluctuation Of Risk Of Iron Ore Based On Time-Varying Hybrid Copula Model

With the deepening of economic globalization,the global economy is changing rapidly and the financial crisis is everywhere.The linkages between financial systems are also becoming more and more intense,and the risks of financial markets are being transmitted around the world,making the risk spillover more prominent.Throughout our country,since iron ore futures contracts on October 18,2013 in dalian since traded,iron ore futures market in China is growing stronger and mature,iron ore spot market is increasingly perfect,by the wide attention of scholars and the related domestic and international investors.It is of great significance for the development of iron ore spot market and iron ore futures market to explore the situation of risk spillover effect between China and other countries.In fact,many scholars in China have studied the spillover effects of the iron ore market and obtained more research results.However,because the research direction of scholars is more concentrated and the research results are similar,there are few studies on the degree of influence of the iron ore market.In the theoretical analysis,this paper first introduces the theoretical knowledge of Copula function model,through the GARCH to the time variable edge distribution is described,and then construct a time-varying mixed Copula model to describe the joint distribution between variables,the model based on the time-varying mixing calculation of Copula between home and abroad,iron ore futures market risk in stock market the spillover index CoVaR value,measure the Risk Spillover Effect between the iron ore market,so as to judge the decision mechanism of iron ore market pricing.In the empirical study,this paper uses the iron ore price index as the proxy variable of iron ore price.For the study of international and domestic iron ore futures market risk spillover effect,this paper uses the data of domestic iron ore futures in Dalian commodity exchange,international data by the Singapore Exchange iron ore swaps settlement price,because of its positions and trading volume is large;the domestic iron ore spot market data by Chinese iron ore price index(CIOPI)of domestic iron ore index.To construct the CopulaCoVaR model,should follow the following steps: first,according to the GARCH(1,1)-t model to determine the marginal distribution of iron ore yields of random variables;secondly,the establishment of the Copula function model according to the results of the above steps,choose the best state variable description of the structure of the random variable mixed Copula function model;thirdly,the use of the optimal Copula models selected are derived between groups in the iron ore market value of CoVaR.Through theoretical and empirical research,this paper found that the corresponding overflow degree of foreign iron ore futures market of domestic iron ore spot market is weak to the domestic iron ore futures market to the spot market spillover degree;and the spillover effect of foreign iron ore futures market on the domestic iron ore futures market is gradually weakened,on the contrary,the spillover effect of domestic iron ore futures market of foreign iron ore futures market has gradually increased.The possible innovation points of this paper are mainly in two aspects:1.A time-variant hybrid Copula model which can describe the thick tail and nonlinear correlation of the sequence peak is constructed,and the relationship between financial variables is described.While using the risk model is applied to the overflow of forefathers' research literature rarely,in this paper,by constructing mixed time-varying copulas connect model research on international and domestic iron ore futures market risk of overflow is a useful complement to the field.2.CoVaR is used to calculate the CoVaR value between iron ore futures market and iron ore spot market for the first time,which makes CoVaR's measurement of market risk more realistic.CoVaR is also VaR in nature,but it has its own advantages and can make quantitative analysis of the risk spillover effect of the market,which compensates the deficiency of VaR in a certain degree.For the study of iron ore,iron ore between futures market risk spillover effect between the spot market,this paper discusses the effect of iron ore pricing power research,has certain theoretical and practical significance,and has certain innovative.