极差波动在期现跨市场套利中的应用——与GARCH模型的比较  

Research on Cross-market Arbitrage Based on Extreme Fluctuation

作　　者：周亮 ZHOU Liang(Hunan University of Finance and Economics,Changsha 410205,China)

机构地区：[1]湖南财政经济学院学报编辑部,长沙410205

出　　处：《山东工商学院学报》2018年第2期78-86,共9页Journal of Shandong Technology and Business University

基　　金：湖南省教育厅科学研究项目"金融服务功能视角下区域金融深化与经济发展的空间耦合关系研究"(14B031)

摘　　要：选取螺纹钢期货和现货2016年1月初至2017年9月底所有的日数据,通过协整模型及GARCH模型确定了期现套利的比值关系,构建了用于统计套利的极差波动变量,并比较了其与协整标准差及GARCH方差项的套利结果,结果发现:极差波动套利样本外胜率达到了100%,远高于GARCH套利的60%及协整标准差套利的57%,年化收益率达到123.37%,略高于GARCH套利的112.68,并远高于协整标准差的15.93%。综合来看,采用极差波动来进行套利可以取得优异的结果,但是结合对棕榈油和甲醇期现套利的进一步检验,极差波动套利整体效果要略逊于GARCH套利。The daily data of rebar futures and spot from the beginning of January 2016 to the end of September 2017 are selected.The ratio of arbitrage is determined by cointegration model and GARCH model.The volatility variables for statistical arbitrage are constructed,and compared the arbitrage result with that of the arbitrage standard deviation and GARCH variance.The results show that:the winning percentage of the range fluctuation arbitrage sample is 100%,which is much higher than that of GARCH arbitrage and covariance standard deviation arbitrage;the annualized yield reached 123.37%,slightly higher than the GARCH arbitrage 112.68%and far higher than the covariance standard deviation of 15.93%.On the whole,the use of extreme volatility to carry out arbitrage can achieve excellent results,but the combination of palm oil and methanol is arbitrarily further testing,arbitrage volatility arbitrage overall effect is slightly less than GARCH arbitrage.

关 键 词：极差波动 期现套利 跨市场套利 

分 类 号：F830.9[经济管理—金融学]