EconPapers    
Economics at your fingertips  
 

Modeling nonlinear dynamics of daily futures price changes

Andre H. Gao and George H. K. Wang

Journal of Futures Markets, 1999, vol. 19, issue 3, 325-351

Abstract: The purpose of this article is to characterize linear and nonlinear serial dependence in daily futures price changes. The daily prices of four futures are included in this study: (i) S&P 500; (ii) Japanese yen; (iii) Deutsche mark; and (iv) Eurodollar. Our major empirical findings are: (i) Based on the results of nonlinearity tests (that is, the BDS, the Q-super-2, and the TAR‐F tests), we found all futures price changes contain nonlinearity in the series; (ii) a GARCH model can explain the source of nonlinearity for three out of four series; (iii) a threshold autoregressive model and autoregressive volatility model can adequately represent nonlinear dynamics of S&P 500 series; and (iv) deterministic chaos is not evident in the scaled residuals from the nonlinear time series models. Hence we favor a statistical time series approach to represent the data‐generating mechanism of futures price changes. © 1999 John Wiley & Sons, Inc. Jrl Fut Mark 19: 325–351, 1999

Date: 1999
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jfutmk:v:19:y:1999:i:3:p:325-351

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0270-7314

Access Statistics for this article

Journal of Futures Markets is currently edited by Robert I. Webb

More articles in Journal of Futures Markets from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().

 
Page updated 2019-03-19
Handle: RePEc:wly:jfutmk:v:19:y:1999:i:3:p:325-351