An Application of the DCC Model into the Stock Index Futures and Spot Markets
、蔡垂君
E-mail: [email protected]
ABSTRACT
The globalization of financial markets offers investors more opportunities to cre-ate profits; but such liberalization and
internationalization have also resulted that the in-teraction relationships among financial markets have become more and more complex and risky at the same time. In this study, we collect market data of index futures and spot on CAC 40, FTSE 100, NIKKE 1225, E-MINI S&P 500, DAX and Kospi200, ap-ply them into the DCC model by Engle (2002), and then include basis and asymmetric effect into the model so as to research how the previous on-period positive basis and negative basis influence index futures and spot. From the empirical study, we find that the returns of index futures and spot al-ways present high correlation, and the covariance between the two markets appears un-stable. In general, the persistence of interaction between index futures and spot is all time long, and the asymmetric effect usually exists between index futures and spot in the markets observed above except for E-MINI S&P 500. Moreover, it is obvious that the positive basis gains more powerful than negative basis when the fluctuation of the basis affects index futures and spot. Besides, we also find that asymmetric DCC-GARCH model outperforms DCC-GARCH model when conducting the numbers of failures test, proportion of failures test and LR test.
Keywords : DCC-GARCH model ; basis ; asymmetric effect ; VaR
Table of Contents
第一章 緒論．．．．．．．．．．．．．．．．．．．． 1 第一節 研究背景．．．．．．．．．．．．．．．． 1 第二節 研究問題與目的．．．．．．．．．．．．． 4 第三節 論文架構．．．．．．．．．．．．．．
．． 6 第二章 理論基礎與文獻回顧．．．．．．．．．．．．． 7 第一節 基礎理論．．．．．．．．．．．
．．．．． 7 第二節 期貨與現貨市場風險之實證文獻．．．．．． 15 第三節 本論文之貢獻．．．．．．．
．．．．．．． 23 第三章 研究方法．．．．．．．．．．．．．．．．．． 24 第一節 單根與共整合檢定．
．．．．．．．．．．． 24 第二節 DCC-GARCH模型適用性評估．．．．．．． 28 第三節 VaR風險值 設定評估．．．．．．．．．．． 32 第四章 實證結果與分析．．．．．．．．．．．．．．． 36 第一節 基本檢定．
．．．．．．．．．．．．．．． 36 第二節 DCC-GARCH模型之估計．．．．．．．．． 46 第三節 對稱與不對 稱DCC-GARCH模型比較．．．． 52 第四節 風險值之估計．．．．．．．．．．．．．． 54 第五章 結論與 建議．．．．．．．．．．．．．．．．． 58 第一節 結論．．．．．．．．．．．．．．．．．． 58 第二節 研究 建議．．．．．．．．．．．．．．．． 60 參考文獻 ．．．．．．．．．．．．．．．．．．．．．． 62
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