Nonlinear Dynamics of the Nikkei Stock Average Futures
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.
Asia-Pacific Financial Markets
TSE, Yiu Kuen.
Nonlinear Dynamics of the Nikkei Stock Average Futures. (1995). Asia-Pacific Financial Markets. 2, (3), 181-195. Research Collection School Of Economics.
Available at: https://ink.library.smu.edu.sg/soe_research/533