Research on the Futures Volatility Forecasting Model Considering Asymmetric Effects of Basis

LIU Xue-feng; XIONG Xiong

Volume 24 Issue 4

Jun. 2021

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Article Navigation > Journal of University of Science and Technology Beijing ( Social Sciences Edition) > 2008 > 24(4): 17-20

LIU Xue-feng, XIONG Xiong. Research on the Futures Volatility Forecasting Model Considering Asymmetric Effects of Basis[J]. Journal of University of Science and Technology Beijing ( Social Sciences Edition), 2008, 24(4): 17-20.

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LIU Xue-feng, XIONG Xiong. Research on the Futures Volatility Forecasting Model Considering Asymmetric Effects of Basis[J]. Journal of University of Science and Technology Beijing ( Social Sciences Edition), 2008, 24(4): 17-20.

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Research on the Futures Volatility Forecasting Model Considering Asymmetric Effects of Basis

School of Management Tianjin University, Tianjin 300072, China

Received Date: 2008-07-15
Available Online: 2021-06-28

Abstract

Abstract

This paper studied the asymmetric effects of basis on the volatility of futures. The empirical results from Zhengzhou wheat futures and spots suggest that the asymmetric effects is significant and negative basis impacts the volatility more significantly than the positive basis does. The out-sample contrasts showthat forecasting volatility considering the asymmetric effects can reduce the forecasting error and improve the forecast effects.
- volatility,
- basis,
- asymmetric effects,
- forecast

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