Abstract
We revisit the relationship between the commodities futures market volatility and the macroeconomic factors, by employing the GARCH-MIDAS model, which can decompose the conditional variance into the secular and short-run component. We introduce the level or the variance of the macroeconomic variables into the GARCH-MIDAS model, to test the impact of the macroeconomic variables on the long-run variance. In the paper, we find the variance of PPI and IP has a more significant impact on the volatility of China commodities futures market than the level of the macroeconomic variables.
Supported by Science and Technology Planning Project of Guangdong Province, China, (Grant No. 2014B080807027).
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Liu, R., Yang, J., Ruan, C. (2020). The Macroeconomic Influence of China Futures Market: A GARCH-MIDAS Approach. In: Kim, J., Geem, Z., Jung, D., Yoo, D., Yadav, A. (eds) Advances in Harmony Search, Soft Computing and Applications. ICHSA 2019. Advances in Intelligent Systems and Computing, vol 1063. Springer, Cham. https://doi.org/10.1007/978-3-030-31967-0_28
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DOI: https://doi.org/10.1007/978-3-030-31967-0_28
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