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.
出处
《数学的实践与认识》
CSCD
北大核心
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)
关键词
股指期货
跨期套利
协整
GARCH
stock index futures
calendar spread arbitrage
cointegration
GARCH model
