股票指数期货价格波动性预测线性与非线性模型英文.pdfVIP

The Financial Review 37 (2002) 93--104 Forecasting Stock Index Futures Price Volatility: Linear vs. Nonlinear Models Mohammad Najand∗ Old Dominion University Abstract The study examines the relative ability of various models to forecast daily stock index futures volatility. The forecasting models that are employed range from na¨ıve models to the relatively complex ARCH-class models. It is found that among linear models of stock index futures volatility, the autoregressive model ranks first using the RMSE and MAPE criteria. We also examine three nonlinear models. These models are GARCH-M, EGARCH, and ESTAR. We find that nonlinear GARCH models dominate linear models utilizing the RMSE and the MAPE error statistics and EGARCH appears to be the best model for forecasting stock index futures price volatility. Keywords : stock index futures volatility, autoregressive, EGARCH, ESTAR JEL Classification : G13 1. Introduction Recently, there has been an increasing interest in modeling the volatilities of stock returns. Understanding and modeling stock volatility is important since volatility forecasts have many practical applications. Investment decisions, as characterized by asset pricing models, depend heavily on the assessment of future returns and risk of various assets. The expected volatility of a security return also plays an important role in the option pricing theory. ∗Corresponding author : Department of Finance, College of Business and Public Administration, Old Dominion University, Norfolk, VA 23529; Phone: (757) 683-3509; Fax: (757) 683-5639; E-mail: mnajand@odu.edu. 93 94 M. Najand/The Financial Review 37 (2002) 93–104 In the futures markets, stock index futures and options on st