Causality of Spot and Futures Markets and Its Forecasting Ability

• 발행기관: 한국자료분석학회
• 저자명: Yeonjeong Lee Seong-Min Yoon Kapje Park
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.11 No.2, 593~604쪽, 전체 12쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2009.04.30

영문 초록

This paper presents an empirical model for predicting the Korea Composite Stock Price Index(KOSPI) 200 spot index. Prediction of the asset price in financial markets is important for helping investors choose their investment strategies. We used three types of time-series models(ARIMA, VAR, and VECM) to predict short-term trends based on fiveminute observations of KOSPI 200 spot price and futures. When we compared the actual KOSPI 200 spot index value with the predicted one, we found that the VAR model was a better predictor than ARIMA or VECM in terms of RMSE and MSE. This model gives good prediction performance and can be used by investors to build appropriate risk management strategies.

목차

1. Introduction

2. Theoretical Background

3. Empirical results

4. Conclusions

References

키워드

KOSPI 200 Index ARIMA VAR VECM Prediction Performance