The Research of Futures Optimal Forecasting Models－An Example of Taiwan Futures Market
Date Issued
2008
Date
2008
Author(s)
Liu, Che-Liang
Abstract
This thesis use four models in the GARCH family, ARCH(1), GARCH(1,1), TGARCH(1,1), and EGARCH(1,1), to capture four popular financial products including TX, TE, TF, and MTX in domestic future markets in Taiwan from late December, 2005, to April, 2008. It revealed volatility trend in 28 reading months. I classified all samples into 24 pre-reading-months, in-sample data and four post-reading-months, out-of-sample data. fitting in-sample data in models, use AIC and SBC of the Model Selection Criterion to evaluate the goodness of fit of model, and then use out-of-sample data to evaluate model forecast ability through forecast ability index RMSE, MAE, and MAPE. In the goodness of fit of model, TX, TE, and MTX all indicate that TGARCH(1,1) model fits in the best; only TF indicates GARCH(1,1) model has better fitness. In model forecast ability, TX, TE, and MTX all indicate that TGARCH(1,1) model has better forecast ability; only TF indicates EGARCH(1,1) has better forecast ability. Since the leverage effect does exist in domestic financial markets, we implied from the empirical study that TGARCH(1,1) model considers more variables and the leverage effect, TGARCH model has better model fitness than parallel model, ARCH model and GARCH model which did not consider the leverage effect. This phenomenon accords with the results from international and domestic documents. We supposed that since the global financial market is a big economy, the economic situations and financial product fluctuations of each country are related to each other. We would suggest investors to use TGARCH model to evaluate volatility trend and forecast when invest domestic future products.
Subjects
VaR
TX
TE
TF
MTX
GARCH model
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
index.html
Size
23.27 KB
Format
HTML
Checksum
(MD5):7a25c5a81e5c116089b6ab5e0ba579c6