研究文章
大宗商品现货价格的跳跃大小分布及其对期货和期权价格的影响
表1
RMSE和PRMSE样本外(1 2015)DM, JDMN, JDMExp模型。
|
|
RMSE |
PRMSE |
| DM |
JDMN |
JDMExp |
DM |
JDMN |
JDMExp |
|
| F1 |
0.1582 |
0.1362 |
0.1398 |
5.7376 |
4.9326 |
5.0514 |
| F6 |
0.1636 |
0.1744 |
0.1893 |
5.4787 |
5.9201 |
6.4430 |
| F9 |
0.1472 |
0.1162 |
0.1531 |
4.5256 |
3.6732 |
4.9852 |
| F12 |
0.2113 |
0.1529 |
0.1590 |
6.2670 |
4.6156 |
5.1349 |
| F18 |
0.2651 |
0.2012 |
0.1466 |
7.7642 |
5.8706 |
4.5386 |
| F24 |
0.3757 |
0.3172 |
0.2176 |
10.3069 |
8.6277 |
6.0603 |
| + 30 |
0.3826 |
0.3141 |
0.1630 |
10.7959 |
8.8260 |
4.5345 |
| F36 |
0.4753 |
0.4199 |
0.3126 |
12.4319 |
10.8809 |
8.0727 |
| F42 |
0.4295 |
0.3661 |
0.2254 |
11.8569 |
10.0716 |
6.1337 |
| F44 |
0.5065 |
0.4413 |
0.2953 |
13.7741 |
11.9909 |
7.9929 |
|
|
