管理工程学报
管理工程學報
관리공정학보
Journal of Industrial Engineering and Engineering Management
2011年
1期
115~120
,共null页
恒生指数 SVCJ MCMC 跳跃溢出
恆生指數 SVCJ MCMC 跳躍溢齣
항생지수 SVCJ MCMC 도약일출
hang seng index; stochastic volatility with correlated jumps(SVCJ); markov chain monte carlo(MCMC); jump spillover
为探索恒生指数期货与现货市场之间的跳跃溢出行为,本文利用贝叶斯MCMC推断的SVCJ模型对恒生指数期货与现货市场的跳跃溢出概率、跳跃强度与跳跃大小进行了实证分析。研究结果表明:恒生指数期货与现货市场均存在明显的跳跃特征,并且,两市场之间具有显著的跳跃溢出行为;相对与包含跳跃的波动变化和收益,不包含跳跃的波动和收益模型会过度估计恒生指数期货与现货市场之间的相关性;对同日或次日而言,恒生指数期货市场对现货市场的条件跳跃溢出概率均大于现货市场对期货市场的条件跳跃溢出概率,且跳跃引起负收益的跳跃溢出概率均大于条件跳跃溢出概率;此外,恒生指数期货与现货市场之间的同日跳跃强度与同日跳跃大小均是显著的,相对而言,恒生指数期货的平均跳跃大小要远小于恒生指数的平均跳跃大小,并且,彼此的跳跃溢出均可在同日或次日到达对方。
為探索恆生指數期貨與現貨市場之間的跳躍溢齣行為,本文利用貝葉斯MCMC推斷的SVCJ模型對恆生指數期貨與現貨市場的跳躍溢齣概率、跳躍彊度與跳躍大小進行瞭實證分析。研究結果錶明:恆生指數期貨與現貨市場均存在明顯的跳躍特徵,併且,兩市場之間具有顯著的跳躍溢齣行為;相對與包含跳躍的波動變化和收益,不包含跳躍的波動和收益模型會過度估計恆生指數期貨與現貨市場之間的相關性;對同日或次日而言,恆生指數期貨市場對現貨市場的條件跳躍溢齣概率均大于現貨市場對期貨市場的條件跳躍溢齣概率,且跳躍引起負收益的跳躍溢齣概率均大于條件跳躍溢齣概率;此外,恆生指數期貨與現貨市場之間的同日跳躍彊度與同日跳躍大小均是顯著的,相對而言,恆生指數期貨的平均跳躍大小要遠小于恆生指數的平均跳躍大小,併且,彼此的跳躍溢齣均可在同日或次日到達對方。
위탐색항생지수기화여현화시장지간적도약일출행위,본문이용패협사MCMC추단적SVCJ모형대항생지수기화여현화시장적도약일출개솔、도약강도여도약대소진행료실증분석。연구결과표명:항생지수기화여현화시장균존재명현적도약특정,병차,량시장지간구유현저적도약일출행위;상대여포함도약적파동변화화수익,불포함도약적파동화수익모형회과도고계항생지수기화여현화시장지간적상관성;대동일혹차일이언,항생지수기화시장대현화시장적조건도약일출개솔균대우현화시장대기화시장적조건도약일출개솔,차도약인기부수익적도약일출개솔균대우조건도약일출개솔;차외,항생지수기화여현화시장지간적동일도약강도여동일도약대소균시현저적,상대이언,항생지수기화적평균도약대소요원소우항생지수적평균도약대소,병차,피차적도약일출균가재동일혹차일도체대방。
The jump behavior between Hang Seng index(HSI) futures and Hang Seng index(HSI) spot markets has received heated discussion.The objective of this paper is to provide insights on different forms of jump spillover behavior and help investors better understand the jump behavior.First,we measure the simultaneous jump intensities for these two markets and assess if these intensities are statistically significant from each other.Second,we perform an analysis of conditional jump spillovers to examine to what extent jumps occur in the two markets between January 4,2002 and December 31,2008.We use the correlated jumps(SVCJ) model and the Bayesian approach to estimate the jump spillover probabilities,jump intensities,jump sizes,and stochastic volatility.These methods are based on Markov chain Monte Carlo(MCMC) methods and enable us to estimate the latent processes of the model—in particular the jump times.We further analyze jump spillover effects between HSI future and spot markets based on the estimates of the latent jump times produced from these methods.We enter parameters into the SVCJ model by using the Bayesian MCMC method for the HSI futures and HSI spot markets.Historical log returns,the estimated jump probabilities and the annualized smoothed volatility paths are calculated.The analysis results show that jumps and prominent jump spillovers between HSI futures and HSI spot markets do exist.In addition,we calculate the simultaneous jump intensity of these two markets by simply dividing the number of overlapping observations by the number of identified simultaneous jumps.In comparison with volatility changes and returns,the model may overestimate the correlations between HSI futures and HSI spot markets because the jumps are not included.We also compare the conditional spillover probability in two conditions: same-day(conditional) jump spillover and next-day(conditional) jump spillover.Empirical testing results show that the HIS futures market has a higher conditional jump spillover probability than the HSI spot market in both conditions.Simultaneous jump intensity and size are prominent.The average size of the jumps of the HSI futures market is much smaller than that of the HSI spot market.In summary,there are prominent jump spillovers between HSI futures and HSI spot markets.The jump spillover from one market to the other and vice versa appears in the same day or next day.