Research On The Fluctuation Of Rebar Futures Price And Its Influencing Factors Based On GARCH-MIDAS Model

With the deepening of urbanization in China,the scale of investment in fixed assets and infrastructure construction have expanded continuously.The steel industry has become a pillar industry for China's economic development and plays an important role in the country's development process.Rebar is a representative product of steel,whereas the uncertainty caused by price fluctuations will bring great market risk.Therefore,in-depth analysis of the factors affecting the price fluctuation of rebar futures and research on the law of futures price fluctuations will help promote the steady development of China's steel market,which is of great significance to prevent market risks.This dissertation utilized the MIDAS model to study the fluctuation of rebar futures price and its influencing factors.First,the mechanism analysis of the factors affecting the price fluctuation of rebar futures was conducted,including manufacturing purchasing managers index,macro early warning index,US dollar index,inventory,related commodity futures price fluctuations and investor psychological expectations,etc.Meanwhile,the relationship between various factors and the price fluctuations of rebar futures was discussed in depth.On this basis,the traditional GARCH model and EGARCH model were established.And finally the GARCH-MIDAS model was built up based on the mixed data sampling from the view of level value and fluctuation value.The empirical research results showed that the rebar futures price fluctuation had a significant GARCH effect,and the features,including volatility agglomeration,peak thick tail and no significant asymmetry,were revealed.For the level value,the US dollar index and related commodities had a major impact on the fluctuation of rebar futures price,followed by the manufacturing purchasing managers index and macro early warning index,while inventory had no significant effects.For the fluctuation value,all the manufacturing purchasing managers index,inventory,macro early warning index,related commodities and the fluctuation of US dollar index had a significant impact on the fluctuation of rebar futures price.Besides the comparison of model prediction effects indicated that the prediction effects of the manufacturing purchasing managers index,macro early warning index,inventory,copper futures price and aluminum futures price volatility models were better than that of level models.In addition,US dollar index level model was better than volatility model,while the GARCH-MIDAS model was more accurate than the GARCH model.Finally,relevant countermeasures and suggestions were proposed to stabilize the fluctuation of rebar futures price and to control the risk of market volatility from three aspects.First,emphasize the important influence of various factors on the rebar futures price market.Second,improve the investor's ability to resist risks and establish market security system.Third,promote the improvement of the monitoring system of futures trading market and implement market supervision measures.