The Test Of Intertemporal Strategy Of SC Crude Oil Futures Based On GARCH Model

SC crude oil futures were successfully on the public in the Shanghai International Energy Center on March 26,2018,which had a great significance on our emerging futures market and the whole capital market.At the same time,SC futures contract marked the attempt and exploration of our capital market opening entering to a new stage.For businesses and individuals,enriching the tools of risk management and arbitrage.This paper wants to study the existence of intertemporal arbitrage,based on the one minute high frequency data.This paper focuses on the check of SC crude oil futures intertemporal arbitrage strategy.First,it starts with the brief introduction of three traditional arbitrage methods and the theory of statistical arbitrage,discussing the main idea and methods.Second,compare the carry cost model with con-integration arbitrage model.This paper takes the heteroskedasticity of spread series into account.Compare the EARCH(1,1)with GARCH(1,1),and choose the latter to fit the conditional heteroskedasticity of spread series.In the empirical part,based on the one minute close price series of SCM and SC1901,build the AR(3)-GARCH(1,1)con-integration arbitrage model.With respect to the transaction threshold,apply the exhaustive method.According to the effective rate of return,annualized rate of return,max drawdown to find the optimal threshold.Besides,consider the effects of different sample transaction methods,compare the back-test results.The results show that,the annualized rate of return of rolling transaction is similar to that of the traditional sample.