Research On The Dependency Structure Of China's Commodity Futures Market

As an important part of China's financial market,the commodity futures market is closely related to the smooth progress of major measures such as the stability,reform,and development of China's financial market.Its fundamental purpose is to provide better quality for the development of the real economy.Service.If we can accurately describe the dependent structure of the commodity futures market,we can better guide investors in asset allocation and portfolio risk management,attract more investors to enter,and promote the development of the commodity futures market.Based on combing the relevant theories,this paper puts forward four basic assumptions about the dependence of commodity futures market,and analyzes the main factors affecting the dependence of commodity futures market.Index and classified commodity futures index modeling to achieve an accurate description of the dependent structure of China's commodity futures market and verify the correctness of relevant assumptions.By comparing the empirical results with the research hypothesis,the hypothesis that the composite commodity index,industrial product index,metal index,and energy index is relatively high in the same direction is confirmed.The commodity index has the lowest dependence;the precious metal index and the agricultural product index are relatively low in the same direction with other major indexes because of their own attributes,and the correlation coefficient between the precious metal index and the agricultural product index is the lowest.The empirical results show that in addition to the agricultural products and precious metals indexes with good hedging properties,the other four types of commodity futures indexes(composite commodities,industrial products,metals,and energy)all show high upper and lower tail dependencies and are symmetrical.Tail dependence.It is found that the R-vine-Copula model is more accurate in describing the dependent structure of China's commodity futures market.Compared with the traditional model and the optimal Copula-GARCH model,this method is most effective for the calculation of Va R value.According to the asset portfolio theory,the effective frontier of the commodity futures portfolio is drawn,and the Sharpe ratio is used to determine the optimal portfolio weights.The optimal weights of the six types of commodity futures indexes are 0.3153,-1.1684,0.6900,0.7585,0.3006,0.1041.Using the R-vine-Copula-GARCH model,which is the most effective for measuring Va R value,combined with the Monte Carlo simulation method to calculate the Va R value of the optimal portfolio,it is empirically found that the Va R value of the optimal portfolio is higher than that of the equal weight portfolio.The confidence level is lower,which can better achieve asset allocation and portfolio risk management of the commodity futures market.