Nonlinear Dynamics of the Nikkei Stock Average Futures

Publication Type

Journal Article

Publication Date

1995

Abstract

This paper analyzes the conditional distribution of the Nikkei Stock Average Futures prices traded in the Singapore International Monetary Exchange (SIMEX). It is found that the conditional mean of the logarithmic price ratios is zero and the conditional variance is adequately described by the exponential generalized autoregressive conditional heteroscedasticity model (witht errors) suggested by Nelson (1991) and the autoregressive volatility model suggested by Hsieh (1993). The Brock, Dechert and Scheinkman (1987) statistic cannot reject the hypothesis that the standardized residuals are independently and identically distributed. The results are applied to calculate the maintenance margin and the long-term capital requirements of the contract given an assumed maximum failure rate. The margin requirements set by the SIMEX appear to be adequate compared to our estimates.

Discipline

Economics

Research Areas

Econometrics

Publication

Asia-Pacific Financial Markets

Volume

2

Issue

3

First Page

181

Last Page

195

ISSN

1573-6946

Identifier

10.1007/bf02425195

Publisher

Kluwer

Additional URL

https://doi.org/10.1007/bf02425195

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