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

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.