A Research on the Dynamic Thresholds of CSI300 Index Future Basis based on Non-parameter Thresholds Autoregression Model

A Research on the Dynamic Thresholds of CSI300 Index Future Basis based on Non-parameter Thresholds Autoregression Model


Author:Chen Shoudong,Mao Zhifang  Journal:[Working Paper]  Date:2017(1)

Keywords Basis; Symmetric 3-regime TAR; Non-parameter; Dynamic

Abstract

The thresholds of the basis of China's stock index future is not static, and the dynamic nonlinear feather cannot be ignored. We analyzed the dynamic thresholds of the fixed basis of CSI300 index future by rolling-window symmetric three-regime threshold autoregressive model, which is estimated by non-parameter Bayesian inference. The empirical result shows: China's stock index future market has an obvious short-term feather compared to mature foreign markets; the market has a certain self-repairing ability, but repeated shocks during the repairing period is likely to cause market failure.

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