کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
481605 | 1446177 | 2008 | 17 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Prediction of index futures returns and the analysis of financial spillovers—A comparison between GARCH and the grey theorem Prediction of index futures returns and the analysis of financial spillovers—A comparison between GARCH and the grey theorem](/preview/png/481605.png)
This paper adopts the GM(1, 1) model to predict the rates of return of nine major index futures in the American and Eurasian markets. In a further step, by means of local grey relational analysis and by employing the GM(1, N) model for the first time, the variation relatedness and the main influencing factor among the above mentioned targeted markets is determined. Then, a comparison between GARCH/TGARCH and the grey theory with regard to predictive power is conducted. The findings reveal that the GARCH/TGARCH model performs better than the GM(1, 1), including the optimal α method, in terms of forecasting capabilities. Meanwhile, it is also found that GARCH and spillover effects indeed exist. Moreover, GM(1, N) also reveals that the daily rate of return of the Dow Jones index futures has the most influence on the rates of return of the other index futures.
Journal: European Journal of Operational Research - Volume 186, Issue 3, 1 May 2008, Pages 1184–1200