The Dynamic Volatility Spillover Effects Of Nickel Futures Domestic And LME Based On VAR-GARCH-BEKK Model

In recent years,China's commodity futures market has developed very rapidly,trading varieties are constantly enriched and trading volume and activity are increasing.The advances in the commodity futures market are also promoting the prosperity of the domestic financial derivatives market.This has also provided channels for domestic domestic producers and domestic investors and speculators to circumvent market risks and investments.In recent years,the price of nickel in China has greatly increased.Nickel as the main component of stainless steel costs will greatly affect the fluctuation of stainless steel prices.And China is the world's largest producer and consumer of nickel-iron and stainless steel.Frequent and large fluctuations in nickel prices will dampen the enthusiasm of the majority of manufacturers and will affect the normal production and operation of stainless steel and its upstream nickel-iron producers.And because the entire nickel metal industry chain has gathered a lot of related companies,the large fluctuations in nickel metal prices in these years will often have a relatively large impact on the production and operation of related companies,and it will also be detrimental to the steady and healthy progress of the Chinese national economy.Impact.Therefore,it is of great practical significance to study the characteristics of nickel futures price volatility and the linkage with foreign markets.This article first introduced the nickel futures and volatility spillover related theories,and introduced the GARCH,VAR and BEKK models,respectively,to illustrate its role in the analysis of this paper.Then,this article selects the Shanghai Futures Exchange nickel futures active contract and the London Metal Exchange nickel futures March contract as the research object.This paper analyzes the statistical characteristics of the rate of return series,performs a stationarity test,and then establishes the ARMA model and the ARCH effect detection,and establishes the VAR model to analyze the correlation between the two.Then the GARCH-BEKK model is established,and it is concluded that there is a significant two-way volatility spillover effect between the two,which is consistent with the conduction effect between different markets in real economic life.On this basis,we have conducted a phased modelling analysis of all the data since the listing of domestic nickel futures,obtained a dynamic volatility spillover effect coefficient,and concluded that the volatility spillover effects at home and abroad are continuously expanding.Finally,according to the relevant conclusions derived from the empirical part of this article,the corresponding investment and policies are proposed for the reference of relevant investors and government policy makers.