The Effects of an Asymmetric Momentum Threshold on the Basis Volatility - Tranquil versus Turbulent Periods

不對稱動能門檻效應對基差波動度之影響－市場平穩與震盪期間之比較

古永嘉(Yeong-Jia Goo) ； 侍安宇(An-Yu Shih)

《證券市場發展季刊》 30卷3期 (2018/09) Pp. 75-96

https://doi.org/10.6529/RSFM.201809_30(3).0003

摘要

This study explores the differential impacts of unexpected residual relative to momentum threshold on the basis volatility, and attempts to construct a hybrid momentum threshold GARCH econometric model (HMTAR-GARCH model) by examining two issues. The first issue is to review whether the proposed HMTAR-GARCH model is superior to the traditional TAR-GARCH model by studying the basis volatility prediction and to solve the inefficiency problem of separate estimation when using TAR or MTAR models. The second issue is to improve the limitations of traditional GJR-GARCH model by designing an HMTAR-GARCH model with two random thresholds and to carry out a three-layer do-loop procedure for simulating and testing the algorithm with random thresholds. The empirical result shows that the newly proposed model is superior to the GJR-GARCH model and could better capture the historical residual-shock feedback effects of asymmetry and nonlinearity derived from the inter-period basis volatility. This finding might help basis volatility forecasting and arbitrage investment decisions, especially during severe market fluctuation periods (for example, the financial tsunami period).

關鍵字

Basis ； Volatility ； Asymmetric Effect ； HMTAR-GARCH Model

並列摘要

本研究探討基差波動度受到未預期殘差相對於動能門檻之差異影響效果，並試圖建構一個新的混合動能門檻自我迴歸模型(HMTAR-GARCH Model)來檢視兩個議題。第一個議題是藉由基差波動度預測之研究，檢視本研究所設計之HMTAR-GARCH模型，是否優於過去傳統的TAR-GARCH模型，並解決個別估計TAR及MTAR模型，所產生模型估計效率性不佳的問題。第二個議題是試圖新創一個HMTAR-GARCH雙隨機門檻模型，並進行三層迴圈隨機門檻之模擬演算和測試，以改善傳統GJR-GARCH模型之限制。實證結果顯示新建構的模型優於傳統GJR-GARCH模型，且此新模型能更有效地偵測出殘差資訊對基差波動度之不對稱和非線性影響關係，有助於在市場高震盪期間（例如金融海嘯期間）之基差波動度預測及套利投資決策。

並列關鍵字

基差 ； 波動度 ； 不對稱效果 ； 混合動能門檻自我迴歸模型

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