一种考虑基差非对称影响的期货波动性预测模型研究——基于上海铜期货市场的实证分析

A Forecasting Model for Evaluating the Asymmetric Impacts on the Basis of the Volatility of Futures

研究了基差对上海铜期货收益波动率影响的非对称效应。实证结果表明,基差对铜期货的收益波动存在显著的非对称影响,其中负基差对波动性的影响要明显大于正的基差项。通过与GARCH模型和未考虑基差项的SE-GARCH模型对铜期货的样本外预测能力的比较表明,考虑基差对波动性的非对称影响的AE-GARCH模型能显著地减小铜期货波动性预测的误差。

This paper discusses the asymmetric impacts on the basis on the volatility of Shanghai copper futures. The results of the empirical study suggests that the asymmetric effect is significant. The negative basis impacts the volatility more significant than the positive basis does. The out-sample contrasts show that forecasting the copper volatility evaluating the asymmetric effects can reduce the forecasting error and improve the forecast effects.