پیش بینی نوسانات در بازار آتی فلزات غیر آهنی چین

This paper seeks to model and forecast the Chinese nonferrous metals futures market volatility and allows new insights into the time-varying volatility of realized volatility and leverage effects using high-frequency data. The LHAR-CJ model is extended and the empirical research on copper and aluminum futures in Shanghai Futures Exchange suggests the dynamic dependencies and time-varying volatility of realized volatility, which are captured by long memory HAR-GARCH model. Besides, the findings also show the significant weekly leverage effects in Chinese nonferrous metals futures market volatility. Finally, in-sample and out-of-sample forecasts are investigated, and the results show that the LHAR-CJ-G model, considering time-varying volatility of realized volatility and leverage effects, effectively improves the explanatory power as well as out-of sample predictive performance.