摘要
本文采用平滑转换自回归模型分析基差变动的机制转换特性,实证分析并验证了沪铜近月合约期货的基差变动具有非线性平滑转换机制,实证过程还反映了基差序列具有残差异方差性,故而本文将模型延伸为STAR-EGARCH。分析结果表明:沪铜期货基差具有非线性平滑转换特性;基差在无套利区间内外都具有均值返还特性,但区间内返还速度比区间外的慢;基差变动具有偏离不对称性,不存在波动不对称性;均值返还的市场反应时间为2天。
This paper describes the regime switching characteristics in basis series by STAR model. The empirical research indicates that Shanghai copper futures basis has obvious characteristics of nonlinear smooth transition regime, and that the basis series has heterokedasticityt. Therefore, this paper applies STAR-EGARCH instead of STAR. Nonlinear dynamic analysis concludes that, Shanghai copper futures basis has the property of nonlinear smooth transition; there are different performance in different intervals and mean reversion characteristic appear both inside and outside the interval, though speed of the inner is Significantly slower than the outer; the deviation of Basis is asymmetric, but volatility isn't asymmetric; and the market mean reversion takes two days.
出处
《管理评论》
CSSCI
2008年第10期3-7,共5页
Management Review
