The Analysis of Volatility for Non-Ferrous Metal Futures in Chinese Market Based on Multifractal Perspective

Tao Yin (), Shuang-Shuang Huang, Yiming Wang and George Xianzhi Yuan
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Tao Yin: School of Business, East China University of Political Science & Law, Shanghai 201620, China
Shuang-Shuang Huang: Bank of Shanghai, Shanghai 200010, China
Yiming Wang: Digital Finance Research Center, Yangtze Delta Region Institute of Tsinghua University, Jiaxing 314107, China
George Xianzhi Yuan: School of Economics and Finance, Chongqing University of Technology, Chongqing 400054, China

Mathematics, 2024, vol. 12, issue 24, 1-21

Abstract: The goal of this paper is to study the behavior of non-ferrous metal futures’ volatilities in Chinese future market by applying a multifractal perspective. In particular, in order to obtain key indicators that describe the characterization of non-ferrous metal futures’ volatility behavior, we uses noise-removed EMD-MF-DFA and original MF-DFA methods to conduct a comparative analysis on the return time series of four non-ferrous metal futures, which are Aluminum future, Copper future, Zinc future and Lead future traded on the Shanghai Futures Exchange. This numerical study shows that the indicator established in characterizing the volatility of four non-ferrous metal futures is robust. In addition, we have the following four conclusions: First, there are obvious multifractal phenomena of non-ferrous metal futures in Chinese market, and it shows that Aluminum future has the largest degree of multifractality, and Copper future has the smallest degree of multifractality, which indicates that Aluminum future has the highest volatility complexity, and Copper future has the smallest volatility complexity. Second, it is found that the volatility complexity of these four non-ferrous metal futures is caused by long-range correlation. Third, this study also supports the current judgment that “Copper future has the greatest investment opportunity”. Finally, combined with analysis results, we also give suggestions to investors, producers, and regulators body for non-ferrous metal futures market in China.

Keywords: EMD-MF-DFA; non-ferrous metal future; multifractal; long-term correlation (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2024
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