基于主成分分析法的股指期货期限结构研究

Study on Term Structure of Stock Index Futures Based on Principal Component Analysis

本文以沪深300股指期货为研究对象,采用主成分分析法研究股指期货的期限结构。实证结果显示股指期货期限结构变动可由三个变量表示,这些变量分别体现为曲线的平移、斜率的变化以及曲率的变化。

Taking the term structure of Shanghai- Shenzhen 300 index futures as study objects, this paper makes the principal factor analysis on the term structure of stock index futures. The results show that the term structure of stock index futures can be expressed by three variables, while these variables are associated with parallel shift of the curve, changes in the slope of the curve and change of the curvature respectively.