Vector autoregression or simultaneous equations model? The intraday relationship between index arbitrage and market volatility

Kalok Chan; Y. Peter Chung

doi:10.1016/0378-4266(94)00128-P

Vector autoregression or simultaneous equations model? The intraday relationship between index arbitrage and market volatility

Kalok Chan, Y. Peter Chung

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

10 Citations (Scopus)

Abstract

We conduct simulations to compare the vector autoregression (VAR) and simultaneous equations models (SEM) for examining temporal relationships among arbitrage spreads, spot price volatility, and futures price volatility. Contrary to Koch (1993), we find that the VAR model can better reveal the underlying process, and that SEM can be misleading and may yield unreliable inferences. © 1995.

Original language	English
Pages (from-to)	173-179
Journal	Journal of Banking and Finance
Volume	19
Issue number	1
DOIs	https://doi.org/10.1016/0378-4266(94)00128-P
Publication status	Published - Apr 1995
Externally published	Yes

Bibliographical note

Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].

Research Keywords

Endogenous and exogenous variables
Index arbitrage
Intraday relationship
Market volatility
SEM
VAR

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10.1016/0378-4266(94)00128-P

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title = "Vector autoregression or simultaneous equations model? The intraday relationship between index arbitrage and market volatility",

abstract = "We conduct simulations to compare the vector autoregression (VAR) and simultaneous equations models (SEM) for examining temporal relationships among arbitrage spreads, spot price volatility, and futures price volatility. Contrary to Koch (1993), we find that the VAR model can better reveal the underlying process, and that SEM can be misleading and may yield unreliable inferences. {\textcopyright} 1995.",

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AU - Chan, Kalok

AU - Chung, Y. Peter

N1 - Publication details (e.g. title, author(s), publication statuses and dates) are captured on an “AS IS” and “AS AVAILABLE” basis at the time of record harvesting from the data source. Suggestions for further amendments or supplementary information can be sent to [email protected].

PY - 1995/4

Y1 - 1995/4

N2 - We conduct simulations to compare the vector autoregression (VAR) and simultaneous equations models (SEM) for examining temporal relationships among arbitrage spreads, spot price volatility, and futures price volatility. Contrary to Koch (1993), we find that the VAR model can better reveal the underlying process, and that SEM can be misleading and may yield unreliable inferences. © 1995.

AB - We conduct simulations to compare the vector autoregression (VAR) and simultaneous equations models (SEM) for examining temporal relationships among arbitrage spreads, spot price volatility, and futures price volatility. Contrary to Koch (1993), we find that the VAR model can better reveal the underlying process, and that SEM can be misleading and may yield unreliable inferences. © 1995.

KW - Endogenous and exogenous variables

KW - Index arbitrage

KW - Intraday relationship

KW - Market volatility

KW - SEM

KW - VAR

UR - http://www.scopus.com/inward/record.url?scp=0040931046&partnerID=8YFLogxK

UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-0040931046&origin=recordpage

U2 - 10.1016/0378-4266(94)00128-P

DO - 10.1016/0378-4266(94)00128-P

M3 - RGC 21 - Publication in refereed journal

SN - 0378-4266

VL - 19

SP - 173

EP - 179

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

IS - 1

ER -

Vector autoregression or simultaneous equations model? The intraday relationship between index arbitrage and market volatility

Abstract

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Research Keywords

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