Dissertation
Dissertation > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods

Analysis of Leverage Fluctuation and Transmission about the Metal Market

Author JiaoYuHan
Tutor YanDingZuo
School Lanzhou University
Course Applied Mathematics
Keywords Leverage fluctuation SV model Volatility spillover Copula function
CLC F224
Type Master's thesis
Year 2013
Downloads 65
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Along with the economic recovery, openness of financial markets continue to increase, fluctuation in one financial market will result in one or more fluctuations in other financial markets, financial market volatility spillover effect between volatility transmission effect exists, mutual influence. This paper uses the financial volatility models SV models for the whole period of the gold and silver yield modeling, model parameters are estimated by using the results of the models were compared and analyzed; secondly, segmentation study for gold and silver returns no leverage effect and weak lever effect in the whole period; finally, using the combination of the lever of SV model and Archimedes Copula functions, the empirical analysis on the volatility spillover between Chinese stock market and precious metals and precious metals market, obtained the following conclusions:There is no leverage effect in the gold market, but exists in the silver market.segmentation study on the lever of SV modeling, get the gold market leverage effect exists in the period of consolidation, and about the consolidation period and rise period,they have lever effect in the silver market, and more obvious in the rise period. Compare to the silver market and the gold market,volatility is higher, the risk is bigger in the former, the silver is suitable for investors with high risk and high income, risk preferences of investors can earn more profits in the selection of silver and other financial tools.The depression,consolidation and the rise period, gold and silver upper tail dependence significantly increased.Analysis of the slump in the upper tail dependence shows, volatility spillover phenomenon for the gold market in the stock market is not obvious; in the precious metal period of consolidation,volatility spillover phenomenon between the stock market and the precious metals market is quite obvious, external to the internal fluctuations and precious metals markets remain the same; in the precious metals rose period, fluctuation linkage the precious metals market greatly exceeded the outside on the volatility spillover.Lower tail dependence degree is significantly less than the upper tail dependence, and during the recession, consolidation period, rising period it is growing.0shows that the tail correlation coefficient between Shanghai and Shenzhen300and noble metal is independent, no correlation in the low tail, and other period of tail dependence coefficient also smaller than the same period of gold and silver.The correlation of the tail between Shanghai and Shenzhen300and the silver is basically the same with the correlation of the tail between Shanghai and Shenzhen300and the gold market, the difference is that in the correlation degree,the former is smaller, which is consistent with the conclusion of the volatility is higher in the silver market than the gold market.

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