A Study of the Relationship between Copper, Aluminum and Zinc Futures Price Features

This paper takes the Shanghai Futures Exchange's copper, aluminum and zinc futures products as the subject investigated, makes a study of their basic statistical features, and the relationship features between these three futures product prices using the GARCH Model, Johansen Cointegration Test and Granger Causality Test methods, and holds that there is a long-term equilibrium relationship not only between copper, aluminum and zinc commodity prices, but also between futures price and spot price, and the price discovery function of China's commodity futures market has been preliminarily realized.