CAJ | 학술논문

在检验农产品期货已实现波动率序列的结构突变等特征基础上，通过构造不同估计窗口大小的ARFI-MAX-FIGARCH模型及其线性和非线性组合预测模型来预测农产品期货市场的已实现波动率，并采用基于自助法的MCS检验评价和比较各类预测模型的预测性能。研究结果表明：农产品期货的已实现波动率序列都表现出结构突变特征、不对称性和双长记忆性，并且结构突变点都与一连串的宏观面、政策面重大事件冲击有关；对基于不同估计窗口大小的ARFIMAX-FIGARCH模型所得的单项预测值进行时变加权组合通常能够提供更准确的波动率预测值，并且基于NKR的非参数组合预测模型和基于NRLS和SIC的线性组合预测模型是在结构突变条件下预测农产品期货市场波动率尤其有效的方法。
재검험농산품기화이실현파동솔서렬적결구돌변등특정기출상，통과구조불동고계창구대소적ARFI-MAX-FIGARCH모형급기선성화비선성조합예측모형래예측농산품기화시장적이실현파동솔，병채용기우자조법적MCS검험평개화비교각류예측모형적예측성능。연구결과표명：농산품기화적이실현파동솔서렬도표현출결구돌변특정、불대칭성화쌍장기억성，병차결구돌변점도여일련천적굉관면、정책면중대사건충격유관；대기우불동고계창구대소적ARFIMAX-FIGARCH모형소득적단항예측치진행시변가권조합통상능구제공경준학적파동솔예측치，병차기우NKR적비삼수조합예측모형화기우NRLS화SIC적선성조합예측모형시재결구돌변조건하예측농산품기화시장파동솔우기유효적방법。
This study explore the possibility of structural breaks in daily realized volatility series of agri-cultural commodity futures,and conduct an out-of-sample forecast to explore the effects of structural break on the performance of ARFIMAX-FIGARCH models for the realized volatility forecast,concentra-ting on procedures that utilize a variety of estimation window sizes designed to accommodate the potential structural breaks.The results indicate that the realized volatility of agricultural commodity futures exhibits the properties of structural breaks,asymmetry,and double long memory.In addition,combination fore-casts with time varying weights across individual forecast models estimated with different estimation win-dows performs well,and the nonlinear combination forecasts with weights chosen based on a nonparamet-ric kernel regression and the linear combination forecasts with weights chosen based on non-negative re-stricted least squares and Schwarz Information Criterion appears to be the most effective methods for fore-casting the realized volatility of agricultural commodity futures under structural breaks.