300 (ADF) (VEM) 300 2006 9 5 A50 2006 9 8 CFFEX 10 30 300 300 2007 1 19 6 3 300
300 Kawaller Koch(1987) S&P 500 S&P 500 20~45 1
Stoll Whaley(1990) ARMA 2 3 S&P 500 MMI S&P 500 MMI 5 Abhyankar(1995) FTSE 100 FTSE 100 1 Arshanapalli Doukas(1997) S&P 500 S&P 500 Gwilym Buckle(2001) FTSE 100 Zhong Darrat (2004) EGARCH Nam Oh (2006) KOSPI 200 KOSPI 200 KOSPI 200 Manaster Rendleman(1982) Bhattacharya(1987) Anthony(1988) (2002) (2006)
(2006) Garbade-Silber (2006) (2005) (2005) (2005) ADF Johansen- Juselius 1 3 300 2006 11 1 2007 1 19 Eviews 5.0 SPSS 11.0
2 300 1 19 6 IF0611 IF0612 IF0701 IF0702 IF0703 IF0706 IF0611 IF0612 IF0701 55 1 1 1 300
Descriptive Statistics FUTURE S SPOT N Minimum Maximum Mean Std. Deviation 55 1491.00 2937.00 1921.864 370.03374 55 1475.78 2396.09 1823.703 270.44213 2937.00 1491.00 1921.56 370.03374 2396.09 1475.78 1823.703 270.44213 1 300 3200 2800 2400 2000 1600 1200 5 10 15 20 25 30 35 40 45 50 55 FUTURES SPOT 20 10 1
300 2 300 0.978 2 300 FUTURES Pearson Correlation FUTURES SPOT 1 0.978 ** SPOT Pearson Correlation 0.978 ** 1 **. 1%. LnFt LnSt 1. DF ADF DF t ADF 300
LnF t LnS t 3 3 300 C T K ADF 1% 5% 10% LnF t C 0 2 1.982990-3.565430-2.919952-2.597905 LnS t C 0 1 0.703456-3.557472-2.916566-2.596116 LnF t C 0 2-8.491264-3.562669-2.918778-2.597285 LnS t C 0 1-6.772074-3.562669-2.918778-2.597285 : 1 c t k ; 2 k AIC SC 3 1 300 I 1 2. 300 300
Co-integration 300 LnF t LnS Johansen Juselius 1990 JJ JJ VAR VAR P 1 y = Ay + + A y + ε t 1 2 T t 1 t 1 p t p t y t k y 1t y 2t y kt I d ε t k 1 t 2 p 1 y =Π y + Γ y + ε t t 1 i t i t i= 1 p Ai I i= 1 Π= p Γ i = j=+ i 1 A j 3 y t t i (i=1 2 p) Πy t 1 I 0 y t Πy t 1 Π rank( Π ) = r 0 r k y
Π : Π= αβ α β K r r y t Johansen Trace Test y t r r = 0 r = 0 r 1 r 2 r r * yt r * 1 y t 300 JJ 4 4 300 JJ H 0 H 1 5% r 0 * * r 1 0.260292 16.55276 12.32090 r 1 r 2 0.016682 0.874763 4.129906 5 4 LnFt 0.945756 LnSt ε t
0.01472 4 ECM LnF = 0.01748Ecm + 0.352063 LnF 1.34387 LnS + ε t t 1 t-1 t-1 5 0.00538 0.19322 0.46487 LnS = 0.009213Ecm + 0.214481 LnF 0.449186 LnS + ε t t 1 t-1 t-1 6 0.00224 0.08032 0.19324 5 LnS t-1 1.34387 t t Ecm t -0.01748 1.748% 6
0.9213% 3. 300 VAR 2 2 300 Response to Cholesky One S.D. Innovations.05 Response of FUTURES to FUTURES.05 Response of FUTURES to SPOT.04.04.03.03.02.02.01.01.00.00 -.01 -.01 -.02 1 2 3 4 5 6 7 8 9 10 -.02 1 2 3 4 5 6 7 8 9 10
300 2~4 4 Sims 1980 Mean Square Error VAR 1 VAR p VMA 6 y = ψ I + ψ L+ ψ L +L ε t 2 ( 0 1 2 ) t i yit k y = ( ψ ε + ψ ε + ψ ε + ψ ε +LL ) it 0, ij jt 1, ij jt 1 2, ij jt 2 3, ij jt 3 j= 1 7 { ε jt }
8 2 2 2 0, ij jt + 1, ij jt 1 + 2, ij jt 2 + = q, ij jj q= 0 E[( ψ ε ψ ε ψ ε L ) ] ( ψ ) σ j = 1,2,...,k y var( y ) k it it k 2 2 var( yit ) = { ( ψ q, ij ) σ jj} j= 1 q= 0 9 10 ij ij 2 2 2 2 ( ψq, ij ) σ jj ( ψq, ij ) σ jj q= 0 q= 0 k var( yit ) 2 2 ψ qij, σ jj j= 1 q= 0 RVC ( ) = = { ( ) } RVC Relative Variance Contribution RVC ij j i 300 5 5 300 (%) (%) (%) (%) 1 47.943 52.057 0 100 2 32.185 67.815 7.170 92.830
3 27.897 72.102 9.240 90.760 4 26.572 73.428 9.543 90.457 5 25.815 74.185 9.762 90.238 6 25.394 74.606 9.943 90.057 7 25.263 74.737 10.032 89.967 8 25.312 74.688 10.070 89.930 9 25.480 74.520 10.078 89.921 10 25.736 74.264 10.065 89.935 5 300 1 47.943% 25.736% 5 74.264% 1 7 10.065% 89.935% 300 71.240% 8.590%
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