CAJ | 학술논문

利用Engle-Granger检验法,检验上海沪铜期货两个近月合约收盘价数据的长期均衡关系.在满足协整理论前提下,利用HP滤波法将两序列分别分解为长期趋势和短期波动周期性两种成分,并建立一种新的跨期套利方法:通过高阶自回归模型拟合趋势成分,并将趋势成分拟合误差转入周期性成分,通过GARCH类模型族对修正后的周期性成分进行拟合;再运用穷举法搜索历史数据标准化残差最优建仓与平仓阈值,建立最优套利方案;最后利用拟合模型进行预测和最优套利方案对未来数据套利.实证结果表明:基于HP滤波的套利方法,平滑指数越小,套利利润越高.与传统未进行HP滤波的套利方法相比,套利成功率较高,风险能得到有效控制,且投资者有较高的收益.
이용Engle-Granger검험법,검험상해호동기화량개근월합약수반개수거적장기균형관계.재만족협정이론전제하,이용HP려파법장량서렬분별분해위장기추세화단기파동주기성량충성분,병건립일충신적과기투리방법:통과고계자회귀모형의합추세성분,병장추세성분의합오차전입주기성성분,통과GARCH류모형족대수정후적주기성성분진행의합;재운용궁거법수색역사수거표준화잔차최우건창여평창역치,건립최우투리방안;최후이용의합모형진행예측화최우투리방안대미래수거투리.실증결과표명:기우HP려파적투리방법,평활지수월소,투리리윤월고.여전통미진행HP려파적투리방법상비,투리성공솔교고,풍험능득도유효공제,차투자자유교고적수익.
Testing the long-run equilibrium relationship of Shanghai copper futures'price data contract closed at two month by using the Engle-Granger test method. The two series are decomposed into two components of long-term trend and short-term cyclical fluctuations by using the HP filtering method when satisfying the cointegration theory. Then try a new intertemporal arbitrage method:fitting trend component by high order autoregressive method,and adding the trend component fitting error into the periodic components, via the GARCH model fitting the modified periodic components;Then using exhaustive search of historical data standardization residual's positions establishing and liquidating threshold to establish the optimal arbitrage scheme;Finally using the fitting model to forecast and optimal scheme for future data arbitrage. The empirical results show that: the arbitrage method based on HP filter,the smoothness index is smaller,the higher the arbitrage profit. Compared with the traditional method of arbitrage without HP filtering ,the arbitrage method based on HP filter carrying a higher success rate,controlling risks effectively and the investors have higher earnings.