GARCH 및 GJR GARCH모형을 이용한 스타지수 현선물간의 정보이전효과
The Information Spillover Effect between STAR Index and Futures with GARCH and GJR GARCH
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Abstract
This study investigates the information transmission mechanism between the STAR Index spot and futures with ARMA(1,1) GARCH(1,1) and ARMA(1,1) GJR GARCH(1,1) M for symmetric and asymmetric spillover effects, respectively. The sample period is covered from November 8, 2005 to November 8, 2007. The main findings are as follows; First, the STAR Index spot granger －causes the Index futures, however, the STAR Index futures doesn’t effect the Index spot. We can find the feedback relationship between the Index spot and futures with the volatility data. Second, we can find both conditional mean and conditional volatility effect from the STAR Index futures to spot at the 1% significant level, but less impact was found from the Index spot from the futures, in particular from the conditional volatility equation. Third, the study shows that there is asymmetric spillover effect from the STAR Index spot to Index futures. This finding supports that the STAR Index futures is more influenced by the bad news than good news of the spot.
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