Research On The Spot Price Forecast Under The Linkage Between Futures Price And Spot Price

Rebar is one of the most widely used steel construction materials,and its main supply direction is the engineering and construction industry.Unlike steel mills or steel traders,the engineering and construction industry mainly uses rebar as a raw material,so it is difficult for these companies to implement effective risk-averse strategies in terms of rebar production costs or inventory adjustments.In addition,as a downstream user of the rebar industry chain,this type of enterprise mainly plays the role of a consumer of raw materials and passively bears the risk of cost changes caused by price fluctuations of steel construction materials for a long time.With the further opening of the domestic financial market,the futures market provides an opportunity for rebar consumers to control the cost risk of raw materials.The success of these financial strategies cannot be separated from the grasp of rebar price trends,which provides a strong boost to study the linkage characteristics between the prices of the futures and cash markets and forecast prices on this basis,which is quite instructive.In this paper,we summarize and scientifically validate the linkage between the rebar futures and spot markets and the price indices of the two markets,and then explore the means of forecasting spot prices using the linkage between the price indices of the two markets.In this paper,we use the rebar futures and spot price indices for 10 years from 2013 as the main sample,where the futures end is the daily closing index of rebar on the Shanghai Futures Exchange(SHFE rebar index)and the spot price of rebar(rebar spot index)is the national daily average price.The paper follows the following approach: first,deterministic data such as price indices and official literature from both markets are used as input.Through subjective descriptions and corresponding models,guiding empirical results are output as evidence reflecting the linkage characteristics between the SHFE rebar index and the rebar spot index.Second,the preliminary result data are transformed and used as input to the forecasting model,which in turn supports the study of the forecast of the rebar spot index.The following conclusions are drawn:(1)The SHFE rebar index and the rebar spot index have obvious linkages over the past decade,pulling each other and having a long-term cointegration relationship with a high degree of linkage;it is also noted that under dynamic conditions,the SHFE rebar index and the rebar spot index have obvious mutual excitation,with the SHFE rebar index fluctuations stimulated by the spot side having a more obvious increase,while the rebar spot index fluctuations stimulated by the futures side show more stable transmission characteristics and decreasing period by period.The SHFE rebar index fluctuations are stimulated by the spot side,while the rebar spot index fluctuations are stimulated by the futures side,showing a more stable transmission characteristic,and decreasing period by period.(2)We propose a spot price forecasting tool that uses the linkage law of the term and spot price indices of rebar.The data from the empirical part are used as input,and the ARIMA model is used to forecast the cointegration equation curves and the dynamic conditional correlation coefficients in the DCC-GARCH model in the forecasting stage,and relies on the cointegration equation curves of the term and spot indices to restore the rebar with the aid of the RSI,an indicator of buying and selling strength.The index is then corrected using the dynamic conditional correlation coefficient.After comparing with the real data,the prediction results are consistent with the actual trend and can provide a valid reference.