Research on the Futures Volatility Forecasting Model Considering Asymmetric Effects of Basis
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摘要: 文章研究了基差对期货回报率波动性影响的非对称效应及其在期货波动率预测中的应用。以郑州强麦期货为例的实证结果表明,基差对期货的回报的波动性的影响存在显著的非对称效应,其中负基差对波动性的影响要明显大于正基差。通过与GARCH模型和未考虑非对称效应的SE-GARCH模型对期货波动性预测能力的样本外比较表明,考虑基差非对称效应的AE-GARCH模型能更准确地预测期货的波动性。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.
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Key words:
- volatility /
- basis /
- asymmetric effects /
- forecast
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