基于分数协整Var模型的商品收益预测的经济意义
基于商品现货和期货市场中分数协整的最新证据,我们调查了分数协整模型是否可以提供对商品收益具有统计和/或经济意义的重要预测。具体来说,我们建议使用分数协整矢量自回归(FCVAR)模型对商品现货和期货价格进行建模和预测,该模型将更广为人知的(非分数)CVAR模型进行归纳,以实现分数积分。我们导出FCVAR模型的最佳线性预测变量,并与非分数模型进行样本外预测比较。在我们对17个商品市场的每日数据进行的经验分析中,分数模型在样本内拟合和基于预测比较统计指标的样本外预测方面均优越。我们通过基于权重来自均方差效用函数的投资组合的动态交易策略来分析预测的经济意义。尽管商品市场之间存在很大的异质性,但该分析在大多数市场上产生了具有统计意义的,在经济上有意义的利润,并且表明,分数模型和非分数模型的利润平均都比从简单模型获得的利润更高,并且在统计上也更为重要。移动平均策略。分析还表明,尽管分数模型具有统计优势,但分数模型和非分数模型均产生了非常相似的利润,但平均而言仅具有分数模型的轻微优势。
Economic Significance Of Commodity Return Forecasts From The Fractionally Cointegrated Var Model
AbstractBased on recent evidence of fractional cointegration in commodity spot and futures markets, we investigate whether a fractionally cointegrated model can provide statistically and/or economically significant forecasts of commodity returns. Specifically, we propose to model and forecast commodity spot and futures prices using a fractionally cointegrated vector autoregressive (FCVAR) model that generalizes the more well-known (non-fractional) CVAR model to allow fractional integration. We derive the best linear predictor for the FCVAR model and perform an out-of-sample forecast comparison with the non-fractional model. In our empirical analysis to daily data on 17 commodity markets, the fractional model is found to be superior in terms of in-sample fit and also out-of-sample forecasting based on statistical metrics of forecast comparison. We analyze the economic significance of the forecasts through a dynamic trading strategy based on a portfolio with weights derived from a mean-variance utility function. Although there is much heterogeneity across commodity markets, this analysis leads to statistically significant and economically meaningful profits in most markets, and shows that profits from both the fractional and non-fractional models are higher on average and statistically more significant than profits derived from a simple moving-average strategy. The analysis also shows that, in spite of the statistical advantage of the fractional model, the fractional and non-fractional models generate very similar profits with only a slight advantage to the fractional model on average.