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本研究利用2006年10月30日至2009年3月13日期间的仿真的沪深300指数期货每日结算价,探讨了期货价格的不对称跳跃波动行为。在实证研究方法上,本文以Chan和Maheu的GARCH(1,1)-ARJI模型为基础并进行了扩展,以EGARCH(1,1)-CJI和EGARCH(1,1)-ARJI两种模型来刻画股指期货价格的不对称和跳跃波动行为。实证结果显示:(1)沪深300仿真股指期货价格存在不对称跳跃波动,而且跳跃强度不为一固定常数,异常信息所产生的跳跃强度是随着时间变动的。(2)经过似然比检验,结果显示EGARCH(1,1)-ARJI模型比EGARCH(1,1)-CJI模型具有更好的拟合能力。
This study uses the simulated daily settlement prices of Shanghai and Shenzhen 300 Index futures from October 30, 2006 to March 13, 2009 to discuss the asymmetric jump fluctuation of futures prices. On the empirical research method, this paper is based on Chan and Maheu’s GARCH (1,1) -ARJI model and extends it to EGARCH (1,1) -CJI and EGARCH (1,1) -ARJI models Describe the asymmetric and jump volatility behavior of stock index futures. The empirical results show that: (1) there is an asymmetric jump fluctuation in CSI 300 stock index futures, and the jump strength is not a fixed constant. The jump strength caused by abnormal information changes with time. (2) The likelihood ratio test shows that EGARCH (1,1) -ARJI model has better fitting ability than EGARCH (1,1) -CJI model.