Time-varying Jump Behaviors of China's Futures Price and the Impacts of Jumps on Spot Prices
建立自回归移动平均跳跃强度GARCH模型，研究中国金属期货价格的时变跳跃特征，并分析期货跳跃对现货市场收益和波动的影响。
Futures prices display jump behaviors because of the impacts of the unusual news,so that the paper establishes autoregressive moving average jump intensity GARCH model to describe the autocorrelation,conditional heteroskadasticity,and conditional jump of China's metals futures,and then analyzes the impacts of the jump on the spot markets.The results show that the dynamic jump intensity model comprehensively captures the autocorrelation,conditional heteroskedasticity,as well as conditions jump,of China's metal futures.Futures prices show time-varying jump characteristics where the jump intensity of the copper futures is affected significantly by first-lag jump intensity,and the jump intensity of the aluminum futures is affected significantly by its own lag and the jump intensity residuals.Moreover,current and first-lag futures jump intensity has an effect on return and volatility of spot market.Jump behavior of futures price plays a role in price discovery,and affects hedge.