{"title":"论 COMEX 铜期货长期波动率和动态相关性的宏观经济基本要素","authors":"Zian Wang, Xinshu Li","doi":"arxiv-2409.08355","DOIUrl":null,"url":null,"abstract":"This paper examines the influence of low-frequency macroeconomic variables on\nthe high-frequency returns of copper futures and the long-term correlation with\nthe S&P 500 index, employing GARCH-MIDAS and DCC-MIDAS modeling frameworks. The\nestimated results of GARCH-MIDAS show that realized volatility (RV), level of\ninterest rates (IR), industrial production (IP) and producer price index (PPI),\nvolatility of Slope, PPI, consumer sentiment index (CSI), and dollar index (DI)\nhave significant impacts on Copper futures returns, among which PPI is the most\nefficient macroeconomic variable. From comparison among DCC-GARCH and DCC-MIDAS\nmodel, the added MIDAS filter of PPI improves the model fitness and have better\nperformance than RV in effecting the long-run relationship between Copper\nfutures and S&P 500.","PeriodicalId":501139,"journal":{"name":"arXiv - QuantFin - Statistical Finance","volume":"38 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-09-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"On the macroeconomic fundamentals of long-term volatilities and dynamic correlations in COMEX copper futures\",\"authors\":\"Zian Wang, Xinshu Li\",\"doi\":\"arxiv-2409.08355\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper examines the influence of low-frequency macroeconomic variables on\\nthe high-frequency returns of copper futures and the long-term correlation with\\nthe S&P 500 index, employing GARCH-MIDAS and DCC-MIDAS modeling frameworks. The\\nestimated results of GARCH-MIDAS show that realized volatility (RV), level of\\ninterest rates (IR), industrial production (IP) and producer price index (PPI),\\nvolatility of Slope, PPI, consumer sentiment index (CSI), and dollar index (DI)\\nhave significant impacts on Copper futures returns, among which PPI is the most\\nefficient macroeconomic variable. From comparison among DCC-GARCH and DCC-MIDAS\\nmodel, the added MIDAS filter of PPI improves the model fitness and have better\\nperformance than RV in effecting the long-run relationship between Copper\\nfutures and S&P 500.\",\"PeriodicalId\":501139,\"journal\":{\"name\":\"arXiv - QuantFin - Statistical Finance\",\"volume\":\"38 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-09-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Statistical Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2409.08355\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Statistical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2409.08355","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
On the macroeconomic fundamentals of long-term volatilities and dynamic correlations in COMEX copper futures
This paper examines the influence of low-frequency macroeconomic variables on
the high-frequency returns of copper futures and the long-term correlation with
the S&P 500 index, employing GARCH-MIDAS and DCC-MIDAS modeling frameworks. The
estimated results of GARCH-MIDAS show that realized volatility (RV), level of
interest rates (IR), industrial production (IP) and producer price index (PPI),
volatility of Slope, PPI, consumer sentiment index (CSI), and dollar index (DI)
have significant impacts on Copper futures returns, among which PPI is the most
efficient macroeconomic variable. From comparison among DCC-GARCH and DCC-MIDAS
model, the added MIDAS filter of PPI improves the model fitness and have better
performance than RV in effecting the long-run relationship between Copper
futures and S&P 500.