区间波动率的无套利分数协整分析

IF 0.4 4区经济学 Q4 BUSINESS, FINANCE

Journal of Derivatives Pub Date : 2009-07-16 DOI:10.2139/ssrn.1434792

E. Rossi, Paolo Santucci de Magistris

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引用次数: 15

摘要

期货和现货价格之间的无套利关系意味着期货和现货波动之间的类似关系，以每日波动幅度衡量。分析了两个序列基于区间的波动估计器的长记忆特性，并通过分数向量误差修正模型(FVECM)对其联合动态建模，以明确考虑无套利约束。本文介绍了FVECM参数的两步估计过程，并通过蒙特卡罗模拟证明了其性质。与竞争模型相比，FVECM的样本外预测优势得到了证明。结果强调了充分考虑波动性的长期均衡以获得更好的预测的重要性。

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A No Arbitrage Fractional Cointegration Analysis of the Range Based Volatility

The no arbitrage relation between futures and spot prices implies an analogous relation between futures and spot volatilities as measured by daily range. Long memory features of the range-based volatility estimators of the two series are analyzed, and their joint dynamics are modeled via a fractional vector error correction model (FVECM), in order to explicitly consider the no arbitrage constraints. We introduce a two-step estimation procedure for the FVECM parameters and we show the properties by a Monte Carlo simulation. The out-of-sample forecasting superiority of FVECM, with respect to competing models, is documented. The results highlight the importance of giving fully account of long-run equilibria in volatilities in order to obtain better forecasts.

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来源期刊

Journal of Derivatives Economics, Econometrics and Finance-Economics and Econometrics

CiteScore

1.30

自引率

14.30%

发文量

期刊介绍： The Journal of Derivatives (JOD) is the leading analytical journal on derivatives, providing detailed analyses of theoretical models and how they are used in practice. JOD gives you results-oriented analysis and provides full treatment of mathematical and statistical information on derivatives products and techniques. JOD includes articles about: •The latest valuation and hedging models for derivative instruments and securities •New tools and models for financial risk management •How to apply academic derivatives theory and research to real-world problems •Illustration and rigorous analysis of key innovations in derivative securities and derivative markets