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考虑基差非对称效应的期货波动性预测研究 被引量：2

A Study of the Futures Volatility Forecast Considering Asymmetric Effect of Basis
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摘要 随着我国期货市场的风险日益加剧，对其波动性预测的研究就相对具有理论和实际应用价值。以基差和期货收益的波动性关系为基础，引入郑州期货交易所2003～2007年的强麦近月期货合约的日收盘价数据，进行实证研究，其结果表明：基差对期货回报波动性的影响存在显著的非对称效应，其中正基差对波动性的影响要明显大于负基差；而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。 As the risk of Chinese futures market is on the rise forecast is of theoretical and practical value. The paper, based on the study of the futures volatility e relationship between basis and volatility of futures returns and the daily closing price data of wheat futures from 2003 to 2007 in Zhengzhou Futures Exchange, conducted an empirical study and finds that there exists a significant asymmetric effect of basis on futures volatility and the effect of positive basis is more significant than that of negative one. Besides, the AE-GARCH model considering asymmetric effect of basis can precisely forecast the futures volatility.
作者 马兴杰
机构地区 天津大学管理学院
出处 《西南交通大学学报（社会科学版）》 2008年第4期112-115,共4页 Journal of Southwest Jiaotong University(Social Sciences)
关键词 期货市场 期货价格 期货波动性 基差 非对称效应 futures market price of futures volatility of futures basis asymmetric effect
分类号 F724.5 [经济管理—产业经济] F224 [经济管理—国民经济]
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参考文献7

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共引文献65

同被引文献33

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引证文献2

二级引证文献1

西南交通大学学报（社会科学版）
2008年 第4期

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