| 沪深300仿真股指期货价格不对称跳跃波动的实证分析 |
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| 引用本文： | 刘建桥,孙文全.沪深300仿真股指期货价格不对称跳跃波动的实证分析[J].数理统计与管理,2010,29(6). |
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| 作者姓名： | 刘建桥 孙文全 |
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| 作者单位： | 上海大学国际工商管理学院金融系,上海,200444 |
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| 基金项目： | 上海大学人文社会科学研究发展基金资助 |
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| 摘 要： | 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。
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| 关 键 词： | 沪深300股指期货 价格跳跃行为 不对称波动性 EGARCH(1 1)-CJI模型 EGARCH(1 1)-ARJI模型 |
An Empirical Research on Volatility Asymmetry and Jump Behavior of CSI 300 Index Futures Mock Trading Price |
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| LIU Jian-qiao,SUN Wen-quan.An Empirical Research on Volatility Asymmetry and Jump Behavior of CSI 300 Index Futures Mock Trading Price[J].Application of Statistics and Management,2010,29(6). |
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| Authors: | LIU Jian-qiao SUN Wen-quan |
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| Abstract: | This research is to investigate the volatility asymmetry and jump behavior on future price and volatility.The sample covers the daily prices of CSI 300 Index Futures from October 30,2006 to March 13,2009.We extend the GARCH-ARJI model,which proposed by Chan and Maheu,to two models:EGARCH(1,1)-CJI and EGARCH(1,1)-ARJI.The two models are used for capturing futures price asymmetry and jump behavior.The results of real practice are stated as following:(1) asymmetry and jumping behavior exists in the CSI 300 Index Futures Mock Trading price and the jump intensity is not fixed,but changing over time.(2) Certifying through Likelihood Ratio test,it is found that EGARCH(1,1)-ARJI model fits the data better than EGARCH(1,1)-CJI model. |
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| Keywords: | CSI 300 index futures price jump behavior asymmetry volatility EGARCH(1 1)-CJI-model EGARCH(1 1)-ARJI-model |
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