Research on the Price Fluctuation Characteristics and Influencing Factors of Manganese Silicon Futures in China Based on the ARMA-GARCH Model and VAR Model

An exploration of the Zhengzhou Commodity Exchange in China

Abstract

With the turbulence and changes in the international situation, various industries are facing numerous uncertainties, and China's industrial sector is also encountering significant challenges. Silicon manganese alloy is an important ferroalloy with wide production and application, making it critical to industrial production. Therefore, fluctuations in its price have a profound impact on industrial production. However, due to the late listing of manganese-silicon futures, research on its price fluctuations is still in its infancy. Additionally, since silicon manganese alloy sits in the middle of the industrial supply chain, many scholars are more inclined to study black series futures rather than focusing solely on manganese-silicon futures. Thus, in-depth research into the price fluctuations of manganese-silicon futures is particularly significant, as it can fill the academic gap in this field and provide effective guidance for practical operations. This paper selects the closing price data of manganese-silicon futures from the Zhengzhou Commodity Exchange from 2014 to 2024 and establishes an ARMA-GARCH model. Using EGARCH and GARCH-M, it analyzes the existence of the "leverage effect" and the characteristics of "high risk, high return" in manganese-silicon price volatility. Additionally, a vector autoregression model is constructed using the conditional volatility fitted by the ARMA-EGARCH model in relation to the changes in China’s industrial value-added growth rate, PPI growth rate, and the exchange rate of the RMB against the USD. The analysis shows that these three factors do not jointly Granger-cause the fluctuations in manganese-silicon prices, with the PPI growth rate having a more significant impact on long-term manganese-silicon price volatility compared to short-term volatility. Finally, policy recommendations based on the research findings are proposed to provide reference for relevant departments and enterprises.