The Prediction for Index Futures Returns and the Relational Analysis of Spillover Effect
Ling-ming Kung 0, Shang-Wu Yu
0National Taiwan University of Science and Technology
Available Online October 2006.
- https://doi.org/10.2991/jcis.2006.332How to use a DOI?
- Spillover Effect; Grey Relational Theory; Grey Prediction
- This paper adopts the grey prediction methods, to investigate the return and volatility of major index futures among American and Eurasian markets. The grey relational theory and GM(1,N) model are further used to observe the volatility spillover effect and find the main influence factor in the volatility relatedness about the rate of returns of index futures. In terms of the prediction error, it is exhibited that GM(1,1) is not good for prediction. It also reveals by GM(1,N) that the rate of daily return of Dow Jones is the main influence factor on other index futures rate of returns. In conclusion, the American market firmly dominates global stock markets and forward markets.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Ling-ming Kung AU - Shang-Wu Yu PY - 2006/10 DA - 2006/10 TI - The Prediction for Index Futures Returns and the Relational Analysis of Spillover Effect BT - 9th Joint International Conference on Information Sciences (JCIS-06) PB - Atlantis Press SN - 1951-6851 UR - https://doi.org/10.2991/jcis.2006.332 DO - https://doi.org/10.2991/jcis.2006.332 ID - Kung2006/10 ER -