Analysis on Volatility of Copper and Aluminum Futures Market of China

Abstract

The metal futures market is a typical nonlinear dynamic system. Using R/S method and FIEGARCH model, the paper study nonlinear characteristics and long-term memory of copper and aluminum futures market of China. The empirical results show that: the return series and volatility series of copper and aluminum futures have significant long-term memory, and the volatility leverage effect of copper futures is more obvious than aluminum futures. Furthermore, the copper futures prices respond vehemently to bad news. Testing find that FIEGARCH model is more suitable for the volatility analysis on copper and aluminum futures market of China.