中国线材期货价格指数波动率预测能力分析  

Analysis of the Predictive Capability of the Volatility of China's Wire Rod Futures Price Index

作　　者：陈晓东[1] 易文德[1] 

机构地区：[1]重庆文理学院数学与财经学院,重庆402160

出　　处：《价格月刊》2012年第7期4-7,24,共5页

基　　金：教育部人文社科基金资助项目(08JA790142);重庆文理学院资助项目(Y2010ST52)

摘　　要：利用上海期货交易所线材期货15分钟高频价格数据构造已实现波动率估计序列,并以此作为参考标准,运用6种损失函数以及Diebold-Mariano检验法检验4类不同波动率模型对线材期货价格波动的样本外预测能力,显示,中国线材期货市场,基于高频数据的GJR(1,1)模型具有最为出色的波动率预测能力,而在某些损失函数标准下,HYGARCH(1,d,1)与GARCH(1,1)模型也体现出了较好的波动率预测能力。Taking the 15 minutes of high-frequency price data of wire rod futures in Shanghai Futures Exchange as an example, this paper builds realized volatility estimator sequence, and uses it as reference standard to employ six kinds of loss Rmctions as well as Diebold ＇-of Mariano test method to empirically examine the predictive capabilities of four models with different volatility on a sample of wire rod futures price volatility. The empirical results show that China＇s wire rod futures market based on high frequency data of GJR（1,1） model has the most excellent volatility predictive ability,and under the standard of some function loss, HYGARCH （1 ,d, 1） and GARCH（1,1） model also reflect good predictive ability of volatility.

关 键 词：线材 波动率 GARCH模型 DM检验 

分 类 号：F726[经济管理—产业经济]