基于价差分析建立国债期货跨期套利模型

Establishing national debt futures calendar spread model based on spread analysis

国债期货交易初期以期现套利和跨期套利等投资方式为主.跨期套利以预测跨期价差为基础,此前有关股指期货及国债期货跨期套利的研究往往忽略了对跨期价差的分析.根据已有相关文献,总结得出均值方差模型、协整GARCH模型两个常用的跨期价差预测模型,并且认为自回归模型也在一定程度上适用于价差预测.分别用这三个模型对实际价差进行预测,通过检验预测结果得出以自回归模型为基础的最优价差预测模型.

Arbitrage and calendar spread arbitrage are the main investment method in the early month of bond futures trading. Predict inter - temporal spreads is the base of calendar spread arbitrage, which was ignored by many research about stock index futures and bond futures intertemporal arbitrage before. This paper summarized the mean variance model, co -integration GARCH model two intertemporal price forecast model, besides, this paper put forword that spreads autoregressive model also can do a very good prediction. This paper compared the predicting outcomes of each model, obtained of the optimal prediction model based on the regression model.