【摘 要】
：
套利交易即对冲交易,其核心在于对交易标的价差的判断,传统套利策略假设价差在交易期内波动性不变,即标准差为常数。但金融时间序列通常存在异方差效应,本文通过实证发现,利
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套利交易即对冲交易,其核心在于对交易标的价差的判断,传统套利策略假设价差在交易期内波动性不变,即标准差为常数。但金融时间序列通常存在异方差效应,本文通过实证发现,利用GARCH模型刻画价差波动,可以较好捕捉交易机会。
The hedging transaction is the hedging transaction. The core of the arbitrage trading is the judgment of the underlying spread. The traditional arbitrage strategy assumes that the spread remains unchanged during the trading period, ie, the standard deviation is constant. However, financial time series usually have heteroscedastic effects. This paper empirically finds that the use of GARCH model to depict the volatility of spreads can better capture trading opportunities.
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