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本文以我国沪深两市的数据为样本,运用R/S分析法及分整自回归条件异方差模型FIGARCH,研究了中国股票市场的长期记忆性问题,实证结果表明中国股市波动过程存在着长期记忆性特征。 相似文献
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国际股票市场收益率和波动率的长记忆性研究 总被引:3,自引:0,他引:3
股票市场长记忆性问题是金融学研究的一个热点问题,对于市场有效性的研究和系统非线性结构的分析有着重要的意义。本文运用修正R/S分析和V/S分析两种方法对世界上28个国家(地区)的股票指数的日、周收益序列和日、周收益波动序列进行了完整的长记忆性研究。结果表明:对于收益序列,以美国为代表的大多数发达国家股市一般不存在长记忆性,而中国等发展中国家大多存在显著的长记忆性,尤其中国股市的长记忆性最强;对于收益波动序列,所有国家(地区)都具有长记忆性,并强于收益序列。 相似文献
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本文利用传统的重标极差(R/S)法和修正的重标极差(MRS)法对美元、欧元及日元有效汇率指数的收益率及其波动序列进行长期记忆实证分析.研究结果发现:收益率序列基本不存在长期记忆性,而收益率的波动序列表现出明显的长期记忆性. 相似文献
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我国是铜消费大国,年进口量较大,铜价格波动直接关系到工业发展。本文通过Granger因果检验法分析国内外主要市场铜期货价格与国内铜现货价格间的长期均衡关系,通过建立误差修正模型和方差分解方法研究了铜期货波动对国内铜现货的价格引导作用。结果表明,铜期现货价格之间存在长期均衡关系,从而提出相关建议。 相似文献
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多项实证研究表明多数金融资产的收益率序列呈现尖峰厚尾的非正态分布,波动率具有聚集性和持续性等特点,因此传统的基于正态分布的VaR和ES模型无法有效捕捉收益率序列的尾部信息,忽视了波动的时变性,从而低估金融资产存在的风险。考虑到金融资产收益序列的时变性和尖峰厚尾的特点,本文采用FIGARCH模型与极值理论中的EVT模型相结合的方法来研究我国证券市场存在的市场风险,并进行有效合理的度量。通过比较分析与返回检验发现,基于FIGARCH-EVT模型的风险度量方法要明显优于传统的纯极值理论方法和GARCH-EVT模型。 相似文献
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本文运用三种估计时间序列长期记忆模型(ARFIMA(p,d,q)模型)的方法(MLE、SPR和GPH)对中国股市的长期记忆性特征进行了实证研究,研究显示出MLE方法优于GPH与SPR方法,并得出中国股票市场具有一般新兴股票市场的特征—长期记忆性,但中国股票市场的这种记忆性在逐渐弱化。 相似文献
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我国原油市场价格波动表现出一定的规律性。本文在定性分析我国原油价格走势的基础上,利用马尔科夫区制转移模型对我国原油市场价格中均值过程和波动率过程的非对称性进行了实证检验,发现我国原油市场价格序列当中存在显著的三区制状态,即低价格阶段、中价格阶段以及高价格阶段。 相似文献
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我国期货市场的波动性与有效性--基于三大交易市场的实证分析 总被引:21,自引:0,他引:21
通过对中国三大期货市场的铜、黄豆和小麦三种主要期货品种收益率的分布与波动性的实证分析 ,论证了其时间序列存在ARCH效应 ;运用GARCH模型对这三种期货品种进行了拟合分析和统计检验 ,检验结果表明这三个期货品种的波动性均具有很高的持续性 ,但大连黄豆的波动持续性弱于上海铜和郑州小麦 ,其波动性受各种外部冲击的影响较大 ;通过GARCH( 1 ,1 )的市场有效性检验 ,论证了中国期货市场尚未达到弱式有效 ,市场风险较大。 相似文献
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The volatility of daily futures returns for six important commodities are found to be well described as FIGARCH, fractionally integrated processes, whereas the mean returns exhibit very small departures from the martingale difference property. Several years of high frequency intraday commodity futures returns are also found to have very similar long memory in volatility features as the daily returns. Semiparametric local Whittle estimation of the long memory parameter in absolute returns also finds very significant long memory features. Estimating the long memory parameter across many different data sampling frequencies provides consistent estimates of the long memory parameter, suggesting that the series are self‐similar. The results have important implications for empirical work using commodity futures price data. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:643–668, 2007 相似文献
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Using high‐frequency returns, realized volatility and correlation of the NYMEX light, sweet crude oil, and Henry‐Hub natural gas futures contracts are examined. The unconditional distributions of daily returns and daily realized variances are non‐Gaussian, whereas the distributions of the standardized returns (normalized by the realized standard deviation) and the (logarithms of) realized standard deviations appear approximately Gaussian. The (logarithms of) standard deviations exhibit long‐memory, but the realized correlation between the two futures does not, implying rather weak inter‐market linkage in the long run. There is evidence of asymmetric volatility for natural gas but not for crude oil futures. Finally, realized crude oil futures volatility responds with an increase in the weeks immediately before the OPEC events recommending price increases. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28:993–1011, 2008 相似文献
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This article examines stock market volatility before and after the introduction of equity‐index futures trading in twenty‐five countries, using various models that account for asynchronous data, conditional heteroskedasticity, asymmetric volatility responses, and the joint dynamics of each country's index with the world‐market portfolio. We found that futures trading is related to an increase in conditional volatility in the United States and Japan, but in nearly every other country, we found either no significant effect or a volatility‐dampening effect. This result appears to be robust to model specification and is corroborated by further analysis of the relationship between volatility, trading volume, and open interest in stock futures. An increase in conditional covariance between country‐specific and world returns at the time of futures listing is also documented. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:661–685, 2000 相似文献
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Using high-frequency data for major volatility indexes, we compute the volatility of volatility and show that its logarithm follows a fractional Brownian motion with Hurst parameter smaller than 1/2 thereby extending to the volatility asset class the recent findings obtained for the equity index markets. The results confirm that the volatility of volatility is a rough process and it possesses the long memory property. We also show that the correlation between the volatility and the volatility of volatility is positive, consistent with observations in the volatility option market. Lastly, a robustness check using volatility futures confirms the findings. 相似文献
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This study investigates the effect of introducing index futures trading on the spot price volatility in the Chinese stock market. We employ a recently developed panel data policy evaluation approach (Hsiao, Ching, and Wan, 2011) to construct counterfactuals of the spot market volatility, based mainly on cross‐sectional correlations between the Chinese and international stock markets. This new method does not need to specify a particular regression or a time‐series model for the volatility process around the introduction date of index futures trading, and thus avoids the potential omitted variable bias caused by uncontrolled market factors in the existing literature. Our results provide empirical evidence that the introduction of index futures trading significantly reduces the volatility of the Chinese stock market, which is robust to different model selection criteria and various prediction approaches. © 2012 Wiley Periodicals, Inc. Jrl Fut Mark 33:1167–1190, 2013 相似文献
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Various authors claim to have found evidence of stochastic long‐memory behavior in futures’ contract returns using the Hurst statistic. This paper reexamines futures’ returns for evidence of persistent behavior using a biased‐corrected version of the Hurst statistic, a nonparametric spectral test, and a spectral‐regression estimate of the long‐memory parameter. Results based on these new methods provide no evidence for persistent behavior in futures’ returns. However, they provide overwhelming evidence of long‐memory behavior for the volatility of futures’ returns. This finding adds to the emerging literature on persistent volatility in financial markets and suggests the use of new methods of forecasting volatility, assessing risk, and optimizing portfolios in futures’ markets. © 2000 John Wiley & Sons, Inc. Jrl Fut Mark 20:525–543, 2000 相似文献
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This study analyses the new market for trading volatility; VIX futures. We first use market data to establish the relationship between VIX futures prices and the index itself. We observe that VIX futures and VIX are highly correlated; the term structure of average VIX futures prices is upward sloping, whereas the term structure of VIX futures volatility is downward sloping. To establish a theoretical relationship between VIX futures and VIX, we model the instantaneous variance using a simple square root mean‐reverting process with a stochastic long‐term mean level. Using daily calibrated long‐term mean and VIX, the model gives good predictions of VIX futures prices under normal market situation. These parameter estimates could be used to price VIX options. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark 30:809–833, 2010 相似文献
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This paper considers whether the introduction of the mini‐futures contract for the Spanish Ibex index affects overall market efficiency. Using linear, non‐linear, and fractional integration modeling techniques for the basis term, results of this study suggest the following salient points. First, the equilibrium speed of adjustment is reduced after the introduction of the mini‐futures contract. This effect is particularly pronounced in the mini‐futures second year when its contracts are more heavily traded. Second, fractional integration tests support longer memory in the basis term after the contract introduction, again particularly in the second year. Third, the relationship between the full‐size and mini‐futures contracts appears highly efficient, with a quick speed of adjustment and short memory. Finally, an examination of the volatility dynamics suggests that in the second year of the mini‐futures contract shocks to spot return volatility exhibit longer memory. The results reported here suggest that the increased use of the mini‐futures contract after its introduction has had a detrimental impact on price discovery. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28: 398–415, 2008 相似文献