基于GARCH模型的股指期货协整跨期套利实证研究  

Empirical Study on Calendar Spread Arbitrage of CSI 300 Stock Index Futures Base on Cointegration Theory and GARCH Model

作　　者：何树红[1] 张月秋[1] 张文[2] 

机构地区：[1]云南大学经济学院,云南昆明650091 [2]云南大学数学与统计学院,云南昆明650091

出　　处：《数学的实践与认识》2013年第20期274-279,共6页Mathematics in Practice and Theory

基　　金：国家自然科学基金(61063011);云南大学中青年骨干教师培养计划;云南大学校内基金(2010YB020)

摘　　要：利用沪深300股指期货的5分钟高频收盘数据建立跨期套利模型,在现有的协整理论基础上,应用GARCH模型描述残差的条件异方差性,用历史数据预测未来价格的时变方差,利用置信度确定价差范围。实证结果表明,沪深300股指期货存在日内跨期套利机会.无论是样本内数据还是样本外数据,投资者的风险好恶如何,通过跨期套利可以在较小的风险下,获得较高的盈利.The calendar spread arbitrage model was established with the 5-minute high frequency closing data of CSI 300 stock index futures in this research.Based on the cointegration theory,GARCH model was used to describe the conditional heteroscedasticity of residual,time-varying variance of future price was forecasted with the history data,and spread range was determined by confidence level.The results showed that there exists the opportunities of calendar spread arbitrage in intraday trading.Whether the data is in-sample or out-of-sample,risk likes and dislikes,by the calendar spread arbitrage trading,the higher profit and low risk could be obtained.

关 键 词：股指期货 跨期套利 协整 GARCH 

分 类 号：F224[经济管理—国民经济] F832.5