Nonlinear dependence, asymmetry and thresholds in Australian futures markets

摘要

This paper examines the time series properties of the returns of an Australian interest rate futures contract. Various nonlinearity tests are performed that find evidence of nonlinear dependence, asymmetry and thresholds in the second moment of the return series. Comparisons are made between the performance of ARCH in Mean, Threshold ARCH and Generalised ARCH models and SETAR and LSTAR models. Results support the SETAR and LSTAR models during periods of interest rate decrease and the ARCH in Mean model whilst interest rates increase.