商业研究
商業研究
상업연구
Commercial Research
2015年
5期
73~78
,共null页
股指期货 非对称性 skewed-t分布
股指期貨 非對稱性 skewed-t分佈
고지기화 비대칭성 skewed-t분포
stock index futures; asymmetry ; skewed -t distribution
本文在对沪深300和S＆P500股指期货的当月连续合约进行展期处理的基础上,基于条件收益分别服从正态、学生t、GED和skewed-t分布的假设,运用GJR GARCH模型对波动非对称性建模,并对模型设定偏误进行严格诊断检验。研究发现：GJR GARCH模型能很好地捕捉股指期货市场波动的非对称性;基于skewed-t分布的波动模型的准确性明显优于其他分布下的相同模型;与S＆P500股指期货市场相比,我国股指期货市场波动的非对称性较弱。
本文在對滬深300和S＆P500股指期貨的噹月連續閤約進行展期處理的基礎上,基于條件收益分彆服從正態、學生t、GED和skewed-t分佈的假設,運用GJR GARCH模型對波動非對稱性建模,併對模型設定偏誤進行嚴格診斷檢驗。研究髮現：GJR GARCH模型能很好地捕捉股指期貨市場波動的非對稱性;基于skewed-t分佈的波動模型的準確性明顯優于其他分佈下的相同模型;與S＆P500股指期貨市場相比,我國股指期貨市場波動的非對稱性較弱。
본문재대호심300화S＆P500고지기화적당월련속합약진행전기처리적기출상,기우조건수익분별복종정태、학생t、GED화skewed-t분포적가설,운용GJR GARCH모형대파동비대칭성건모,병대모형설정편오진행엄격진단검험。연구발현：GJR GARCH모형능흔호지포착고지기화시장파동적비대칭성;기우skewed-t분포적파동모형적준학성명현우우기타분포하적상동모형;여S＆P500고지기화시장상비,아국고지기화시장파동적비대칭성교약。
In this paper, two continuous price series of CSI300 and S＆PS00 index future are constructed with rollover. Under the assumption of the conditional return obeying normal, student t, GED and skewed - t distributions, four GJR GARCH models are used to model asymmetry volatility, and Sign Bias Tests are used to test the misspecification of the GJR model. The results show that the GJR models can effectively capture the asymmetry of index futures ; the GJR mod- els with skewed- t distribution is superior to the models with other distributions; contrasted with obvious asymmetry of S＆PS00 index future, CSI300 index future is less asymmetric.
