结构突变条件下农产品期货市场波动率的预测  

Volatility Projection for Agricultural Commodity Futures under Structural Breaks

作　　者：杨科[1] 田凤平[2] 

机构地区：[1]华南农业大学经济管理学院,广东广州510642 [2]中山大学国际商学院,广东广州510275

出　　处：《中山大学学报（自然科学版）》2014年第2期59-72,共14页Acta Scientiarum Naturalium Universitatis Sunyatseni

基　　金：国家自然科学基金资助项目(71203067;71371199);广东省高校优秀青年创新人才培育计划资助项目(育苗项目)(2012WYM_0033);广东省哲学社会科学规划资助项目(GD11YLJ01);中央高校基本科研业务费专项资金中山大学青年教师培育资助项目(13wkpy21);广东省高等学校高层次人才项目资助项目;中山大学985工程三期建设项目金融创新与区域发展研究创新基地资助项目

摘　　要：在检验农产品期货已实现波动率序列的结构突变等特征基础上,通过构造不同估计窗口大小的ARFIMAX-FIGARCH模型及其线性和非线性组合预测模型来预测农产品期货市场的已实现波动率,并采用基于自助法的MCS检验评价和比较各类预测模型的预测性能。研究结果表明:农产品期货的已实现波动率序列都表现出结构突变特征、不对称性和双长记忆性,并且结构突变点都与一连串的宏观面、政策面重大事件冲击有关;对基于不同估计窗口大小的ARFIMAX-FIGARCH模型所得的单项预测值进行时变加权组合通常能够提供更准确的波动率预测值,并且基于NKR的非参数组合预测模型和基于NRLS和SIC的线性组合预测模型是在结构突变条件下预测农产品期货市场波动率尤其有效的方法。This study explore the possibility of structural breaks in daily realized volatility series of agri-cultural commodity futures,and conduct an out-of-sample forecast to explore the effects of structural break on the performance of ARFIMAX-FIGARCH models for the realized volatility forecast,concentra-ting on procedures that utilize a variety of estimation window sizes designed to accommodate the potential structural breaks.The results indicate that the realized volatility of agricultural commodity futures exhibits the properties of structural breaks,asymmetry,and double long memory.In addition,combination fore-casts with time varying weights across individual forecast models estimated with different estimation win-dows performs well,and the nonlinear combination forecasts with weights chosen based on a nonparamet-ric kernel regression and the linear combination forecasts with weights chosen based on non-negative re-stricted least squares and Schwarz Information Criterion appears to be the most effective methods for fore-casting the realized volatility of agricultural commodity futures under structural breaks.

关 键 词：农产品期货 已实现波动率 预测 结构突变 

分 类 号：O212[理学—概率论与数理统计] F830[理学—数学]