The Application Research Of Time Series Arch Model In The Futures Market

Finance is the core of modern economy, while the financial derivative market, which is centered on the futures, is the center of the capital market. Since 2003, leading by sharp movement of international financial market, our Chinese commodity futures market has been very choppy and the volume has kept breaching new records. During 2004, there are four new varieties have been put forth in succession, which highlights the importance of futures market day by day.This paper is aiming at study the volatility and durative of the local and oversea copper futures market by the time series ARCH model. At the beginning, the paper establishes average-value model on the basis of stable array, then verifies and educes the preference recursive-ARCH model by the effect of ARCH, and makes short-term predictions. Meanwhile, it also tries to find out the influences of news in the market on the price movement.The significances and innovation of this paper: 1. Use western advanced econometric theories for reference, endeavor to improve the demonstration research work of our futures market, so that could make it standardized and explicit. Meanwhile, it will be a better guidance to practice; 2. Compare the two markets movement status by the model, try to find out the general features of the copper of Shanghai Futures Exchange (SHFE), and bring forward some reasonable advice which can standardize and perfect the market; 3. Find out the impact of the London Metal Exchange (LME) upon the copper in Shanghai Futures Exchange via the quantitative relationship between the two markets and wavy transferring model, and make short-term predictions, so that can back up the investors and related enterprises on their risks management.