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5 # ' '9: ; E 2! 6 5x.P ^7O >E 6 b[/ ^7O ]?P '7Q 6z 5:D;.7QD! nyj *7F! * [; $ 5& >?@ 5Q! 5:6 / -2-2 >/?W F8! / 'y T -& "$ P 5 "=F "6 5= 5& *; >?@ %& X -& >Z 5O4 $ * [; $ -& E UQ *i! obd. 5 fd *i! 5!D ja "$ " "6 U4 "6 I!& ^!$ *7F! [; >Z * $ 5& >?@ E -T7.. ";?/ >!! U6 "6 5=B I! b[ * 77 >!! "$ [;. >!! >/?W $ "a$ P.Q ' [ $ "{!& 5& >KD "6 7F8@ (976) X66. 5^8I$ $,8 >/?W 5& *; >KD"O..7Zb="$,8>/?W7! 5 * ".4 b= "$ "O. e HV $ "$ *8J$ -T ":@ $ ' Q 5 $ "6 *77V >/?W '*7F! *$ "$ DI! 5& *$ 'T ; o)$ 7$ "6 5/ A. Q 5 bf8. *7F! $ "$ *8J$ / q a c A. *7F! [; >!! $ *V >/?W pd 5^! ^3."8T ; 5$ (989), f g k 5aQ? T 5 i! +8$& */ *_8; (989), t (989), 7.7Q$ 7 '+8$& -7$ fq -& "6 & "=@ "$ 2!& I dp = µ dt + σ dz p p p p 2 b^. g 5 * [; "6 Q 5 : U[! e "$ 5:I!L $. z N (,) σ ])! ' µ p ^! $ 5 [; p '"=@ H 33 "{!& 7.! x *$ q *T [; 7!8 $ [; "O. t (). Ross 2. Martingale

6 394 "# $E ( "h; '5 m '989), ' ' V 5 *T [; :7.65(7G (2"=@) 5 $ fp >D/ ( µ p ) i8! $ "6 µ p r = cov( p, q ) (2) Q 5 t '"$J lw "$.7 5 -J! gi -7$ 2$ s! ' r "=@ :7.6*(3)"=@ >/?W *T boq 7.& "6 ds = µ sdt + σ sdz s (3) s 5 [; 'T bx 7.& * "af! "6 5! fq g t $ :Q P ^!& ' 7Q$ p ( T ) = s ( T ) s r q s T t p( t ) = se µ + [ cov(, )( )] (4) :& 7$ bi!l "=@- 5 "a$ "6 dp ds = [ µ s r + cov( q, s )] dt (5) p s :& 5 7$ ' ; (5)"a$ (3) () f$ T µ dt + σ dz = [ r cov( q, s )] dt + σ dz p p p s s σ dz σ = σ dz p p s s p = σ s (6) :(6)"a$ (2)"a$*^V $ (7) $.$ (8) *$$ ^!$ +8$& V e7/ *$ (989), pq ID/ (8)"=@ I. *T "R8! $6. >/?W -V X! [; >Z X!.3 T 7$ 5 U4 >/?W -V U4 $ [ 5 [; >!! "6 T "6 6 *T "R8! & $& G '7QD! >!! '+8$& * G H% ^! 7 U4 5& -V '5& >?@

7 # ' '9: ; 5/ A '"! 7 5 * 5;L.3 "O..7$ U4 7$ *7F! * [;. 5 -& "$ 7@$ * [I; "6 +2" +3%! %! $ *7#F! #[; >!#! #$ 5#& >?#@ #%& #E - #& "#. * >@=a ' e#r! "#6 *"#@=a (98) 5O# :^.#"#8 > #G 5= *$ "#! #[; >#Z U4# "#$ R. 2 GNMA 5& *; >KD "6 4 3 #$ 5#& *#; #E #$ "a$ *"@=a (985) 7.= - I [. 7Q "#6 5# -#J! #2!& *# "#8.7! er! 7)8 >K "!P ( >!! # #RB "#6 5!# 5= Q 5 "!4P ( >!! U6 o/$ 5& >KD '78$ 5 #6 "#$ #%& #E (989) X.7$ 5 U4 4! >!! '7$ 5 U4 >?@ [! 5$ S&P 5 npq >!!* $ S&P 5 npq 5& *; U4# -& "#$ p #$ 5#& *; 5@ X npq >!! "6 7 6 #[; >#Z $ S&P 5 5& *; E (99) 4$ 58O$."8 "#$ 5W#D e2# #[; >#Z 7#! "#! O "! " !6 5$ e #$R"#@=a(992) ^# 7.D[#I$.7! e2 npq 5& *; 5#& *; 5@>E5$ i."$ 5& *$ S&P 5nPQ 5#@X#"#65# -#J! #2!& *#"#8.7#!e#R!*7#F! #[; >Z$ #%& #E (992) g# 5=.7$5 U6 e2 npq >Z'5& *; v#. '=8# * #J6 -& " npq >!! $ npq 5& *; 6 "$ #P "#@=a *#$ #2!&.7#!6 5$ 7)8 >? -8I:^! '+ 'v.6. Figlewski 2. Government National Mortgage Association (GNMA) Futures Market 3. Simpson 4. Irelan 5. Harris (989) 6. Becketti 7. Roberts 8. Bessembinder 9. Seguin. Lee and Ohk (992)

8 394 "# 6 88 X *7F! [; >Z "6 5 -J!"@=a *"8.7! [! L8 GARCH v#.6 v#. =8# 4#V "#$ #J6 "[ 5& *; >?@ 6 "$ %& 2 #6 "#$ %& 7@$ bd; e2 $ >Z (2) 2 = T. "8 U4.7#!65$ 2}!*_8; "8 "@ J625 e2 npq 5& >KD 23 #$"8 U4 5WQ >!! + 7)8 >K 2. 2!& *"8 ldw. #$ "#8 U#6 5W#Q *#Z # 7#J! ny#j *#.@ #E # ^ J6 4 >Z $ 5& *; >?@ %& *.@ E ~ (22) v! 5 96# #T (2)-#^ #$ rp 3 v!3.7!o! 7 - *7F! [; 6 5#& 5?#@ #6 "#$ #%& 7#! -#J! 7#!6 L8# -8I2= $ v.{y >#@=a # "6 a![.7 5[! ; E ) e2 $ * Z 'npq >E# #.{[ *7#F! #$ >Z * $ 5& >KD E ' nyj.7! V >@=a 5:6 5F *7F! $ >DE e7/ >DE $ -& %! $ $ K6 ". 7Q -J! 5= 5& *; "6 58[; Dx e4!o 7 4 k i. "$ 5O k * 7 (984) X. b$; *8J$ >7Q 5& *$ 6 "$ %& D! "$ *7F! [; >Z U6-6 -$ "8L $ b@ D 7 9a/ * "af!. [! 5BW Pz b$; *K6 [; \ 2!& *D! >[[_ "6 5!I6 -[ 5.@) gi -T7. UQ U6 -& 52! "R8! "6 * )! "$ $ (7 5 ; E ) *7F! *.7Q$ >!!. Gulen 2. Mayhew 3. Chiang 4. Wang 5. Bohl 6. Markov-switching GARCH 7. Sarris

9 # ' '9: ; '7 5 -J! K6 ". *Z U6 "6 *^ >@=a 5O 2 T *7F! [; >Z 2!&. (974) 7= = : "@=a 5@ X *7F! [; *Z "6 5 -J! 2!& * "8.7! ; 5$ 3 L! 5& *; 6 "$ %& E (999) v.[:. $ "8 U6 5& *; -J! S8!. ; 5$ *+! B >K _) L! $ >Z $ ep 5& *; 6 "$ %& X g 58B "8L " W >!! "6 5 *$ 5 >F $ -4[ "O. b= "$ 5=.7$ 5 U4 ep L! >!! $ *E '5& *; 6 "$ %& "6 T "R8! - 5 *+! 4 2$ ( $ $ 5& >?@ E (24)-O[ 5=.7! *7F! * [; $ 6 "$ %& "6 5 -J! 2!& * "8.7! ; 5$? >/?W -V L6 / "O:$ 7J! *7F! $ 5DE 5$ o/$ 2.8! '5&. 7JY$ D2$ *7F! $ 6" %! +2" 73%! : $ K6 5= *2 $ 5 2$J '7Q qa 5:D; * [I; "6 5xBD W "$.Q V *7F! [; >Z $ 5& *; 6 "$ %& E ". 5O.7[! 5 R [; 9J6 7.& *77V 7@$ 5& *; '5:6 *$ "8L * G D! "$ *7F! [; >!! U4 '7Q qa "6 5xBD ^!$ 7Q qa "6*^"i!. 5 ; 76 5& *; 5@ X $ '7& 5 7$ 5& *; lw "6 *8J$ >/?W b= "$ "6 $ "8I$'5= *2.T 5 [; Dx "$ R. 6 b[/ 6 8:6. _8 ( >KB g '7Q"@=a 5 c!"$ $ 7.3 5= 7.2$J $ "D.V 5P$ "O. $ K6 5= *2 5= *2 -T ":@ '5& *$ H% "O..7.Q$ 5 >L8. Taylor 2. Leuthold 3. Fleming 4. Lee

10 394 "# 6 9 P *$ "8L gi UQ * =@ ' 5AF8 l:p $ 5[! > G *7F! *$ rk [@ 5AF8 'K6 "..7!$ 5 Q 5!O K6 *$ "8L '5& >?@ cq -. 5 o/$ ' 5 > G 5O4 *K6 b ) $ K6 5& *; " I "6 "6 5! m _P "$ 7QD! 7! U$ 5AF8 lw *$ "8L Q " I -& "6 npq 5& *; 'b$f. "V "A/ D[6 $ K6.7Q$ 7! U$ 7! 5 5AF8 ' 5 > G *7F! > G "$. Pz :$; '7.L8 $ -& K6 5= *2 "6 *^ 4! K6 *I$.7.8I Pz b$; "A; ( e2 - {[ 5= *2 8J$ "$ 5= *2 *$ Pz :$; [ ' V $.7! :$; I! $E 2!& "A/ "6 LT 7$ '5= *2.7Q$ 5[! K6 7! 5= 7.6 J8. 2 c! 7F 'AF b$f 7! "A/.7$ U4 7! 5[! g "A/ I!.3 K6 Q "6 5:/ -./ "$ - *T [_ 5[2 b/ K6 Pz -4 '"R8!.$ 5 $ AF "A/ e7/ 6 HV AF 5Q! * * - _ * Pz >[[_ 'gi F8! $ "$.$ 5& *$ '< 7$.7. * AF "A/ e7/ "O. bd; 58B ' b2i * D! -6 Pz "6 R!&.7. 5 U6 *7F! * [; >!! 2!& U6 ' P$ *K$ [ 5= *2 "$ DI! K6 *$. P$ *K$ [ 2!& *$ >!! 5K6 "$ b7d 7P g S7 "$ ($ '*+! UY$ 5 >F %& $ b$; % ' P$ 5K$ [ ($ "6 * "8O!. 7Q "=D b$; '.6 t T.I^! c A "$ ^ 5^! $ - 5 "8D=.I!& - $ Pz "8I8O= *+! "$... > T - {[ 5:I r7[/ * *+! b7d ($ F=$ \D. -./ "$ - 8$ T! 5:I *+! Pz 7Q '7& 5 7$!+ $ - 5 AF fq "$ DI! 9:8Y * - "6 T i! ($ Pz. Short-selling

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14 394 "# 6 94 ($ >KD 5= : < "$ < "$ * 4! >?@ RB *+!, $ $ / > ^ >?%!! -4 $ "! [; f 8 '($ $ [; >!! $ 9: >KD E 5$ *$ 39// 5! $ 7& 5 7$ - f 8 "$ "6 - ($ &. Q W "6 6 L8 394/3/3 -& 7$ *$. 7& 7$ - ($ "ODQ 7 6Q '*T bal $ 6 "D) "! [; 8^= 78$ '*7F! $ [; >Z 5 -J! SP $ "6 *7F! [; >Z $.$.& 7$ -& >Z : Q5 "D) "a$ SPt = log( Pt ) log( Pt ) (9) [; >Z 7! '() [!.7 5 -J! - t $ [; P"a$.7 5 -J! *7F! 9$3 #$ %& $@, % - %!, 5L& + :/&

15 # ' '9: ; 5@ & "6 ' "=F P 5 "6 5= k = $ *7F! [; >Z $ *E *+!, $ 7!8 * 9: *;! 8!& '24 -^ 5= 7.![ i. 7$ P "8Q - ($ 5O Q '992 5= '22 >?@ E 5$ *$ (986 :=$ b^!' =6.T = $ '995 4[= 7 :=$ '982 b^!) T *I=7 i. "$ '5:6 W "$..6 5 L8 *7F! [; >Z $ 9: ; 5 L8 T 7 <=; 5WQ X! - W [; >Z >!! 9 bd; 5= _8; "$ p $ >@=a [@ W "$ T & *2=7. Q 7"! ^.L8pQ.7! Q5 "8T6"$ e s! >!!-, $ *I=7*$ T& *2=7.7Q$ 5 ap 4V X!5!I[tnF! 2=7 "! ^. [Y *$.7! 7Q 5BW ap ":[V 5WQ X! "=@ $ : ID/ GARCH(q,p) 7 g 5:6 e. Q5L85[.8x67B Y = a + a X + ε z =, 2, 3,..., ε Ψ N (, h ) ( ) h t z t t, p q 2 t = α + αiεt i + β j ht j i = j = Ψ t Y t t t t () 5WQ X! "=@ () "a$ '5WQ ^! "=@ () "a$ Z8 "L; $ F 4!$ *Z8 ":6.7.Q$ 5L. % β j α i X t "6 *A T 7 g Z8.7. T >/?W "/ [R. Q 5 bq ($ $ [; >Z $ 7!8 * 9: *; >KD E 5$ *$ P g LG 7F "6.6 5 L8 *R Z8 g -. Antoniou 2. Holmes 3. Bologna 4. Cavallo 5. Lee and Ohk 6. Pok and Poshakwale 7. Engle 8. Bollerslev 9. ARCH(Autoregressive Conditional Heteroskedasticity). Garch (Generalized Autoregressive Conditional Heteroskedasticity)

16 394 "# 6 96 ) LG $$ 9: *; >KD cq bd; *$ Z8 7F 392//9 ) g 7F >KD %& 7@$ (392//9 39// :.65*$ boq "$ () "a$ i. 7$ P (394/3/3 p q 2 t i t i j t j i = j = ( 2) h = α + α ε + β h + γ DB V ^!& '7Q$.@ *& i! *R Z8 T.*R *Z8 DB i8!?/.qt 7 P E *7F! $ >Z * $ 5& >KD >L8 g k >i8! 4! -& b= i! - "$ Z8 <A 5 nyj c A 5$ \;. Z8 <A 7@$ bd; 5! "$ b6 IF $ P b:) 'e "$ *$.7.6 "$ 5 ^Y D!7$ e7; $ \;.6 P O 9: >?@ cq "! U4 ($ $ 56 '9: *; >?@ "6 8I "! [! 5! b6 $.$. Q 5 L8 (995)4[:! 8!& i. 7$ '..6 5 IF 7@$ 392//9 4[:! 8!& b:) ldw.t 5 ) T <A ( β j bd; "$ 5$ *$ T "=@ <A ( 77V DP) 77V >/?W -./ "$ (α i )& <A (995) 2 U4 ($ $ 56 T $.$. ( "8QT DP) "8QT >/?W -./ "$ '7Q -$ ldw.7$ F8! [; "$ / "$ 77V >/?W 7$ '7Q$ "8.7Q$ "8 U6 T <A U4 & <A ' i8! 56 D2$ > G ;" A3$B, --4 L8 5L8 *Z8 $ [; 7Q s! >Z *I=7 *$ ^! 7 : 5 *7F! $ [; 2!& pd g ja "$ " "6.6 5 $ 7P *.D $ "6 - ($ $ 8P "$ "V $.$ 5.$ U Z s! :GPR, $ "6 "ODQ K$ ]_ -4 5.$ U > G ' 2.J *.D. Recent News 2. Old News

17 # ' '9: ; nyj ( -8I$ * ($ "ODQ g 7.!) 5! *7= 9:8Y >/?W *+! *8J$ -4 '7Q$ K$ "ODQ $ 5.$ U 7F "6-4 "$.T 5 f 8 [; "R8! 7Q 7 P *7P -T7..6 7= ($ $ 5O8O= [; '7Q$ 8J$ $ 5.$ U Z -4 "3 "R8!.7$ 5 U4 $ ($ U >Z $ Dx "a$ g i8! b6.6 7 P "$R *8J$ >Z 4!. i8! *7F! [; >Z $ 5.$ P g LG 7/ *R Z8.ba@ e *R Z8 : DH 5 8P g 7/ ba@ e LG 7/ ba@ * 4V "$ e b6 *$ b%j *I$ - $ ba@ b=7$ ba@ e "6 I!& $ i8! rk [@.7.6 *8[6 5_ * 2$ "6 58= * - > '58@.G b%j npk$ Q$ 7Q ($ ]_ U6 '*2Q $ * >I.{[ 7! P$ ' [; - $ "ODQ $ - $ b=7$ 7$ U6 $ f 8 [; ba@ * $ 5L. "a$ g $.$.Q P [; *8[6 >Z. i8! -& >Z *7F! $ [; 7= 2.J "$ "O. $?/ ($ $ * [;.>F Z *R Z8 : DP ) 5L:8Y bk "$ [ ($ [; "O. b=7$ ' 5^8I$ *$ -T7..6 = f X:R < _ X [; 9F Z '7Q$ 5 = 8.6 2!& [/ 77V >F! ; < _ b= [ "$.T 5 [/! > *$ *R Z8 b= [ "$ '7Q$ T E -& >Z ($ [; ja $ 7! 5 "6 > G 7$ Z8.6 9@ >Z 8T i! P LG 7F - g 7/ *R Z8 '! ; [/ 5 U4 [; 5.@ K$ [ "$ [; [/ rk [@ "O. "$ "V $ fq 7! 8$ "6 7! V -& *$ 5O4! J!V "6 I. "8I8O= *+! * 5T 5O. boj $ T L! bx -& >F8J 5:I \$. "6 5! '-8I x *$. Q -& 4^V *aa P 4. -7Q et *$ 7.! 5 e 5.@ 7[! b[/ 2!& *$ 4^V -./"$ 7! 5 ($' Q 5 "V 5J b rk [@!P ' "6 5! -8I$ 5= 7..6 L8 5;$ 5JT b *+! 5K$ -4 "$ -8I$ $.$ O8O= *+! $ ff " L8 = 6 bx.*k$ I$ 7F 2! $ 5.$ U $.$! 5O8O=

18 394 "# $ U - 5 [; >Z Z8 $ Dx "a$ g V i8! '7$ : 7Q & "G?P W "$ -& 7Q [/ -!; 7V.6 $< F3%, +%$!%" %! + E F3%, %! 2! +C D -2 ;< > ;/ 9 39/2/2 39/2/ 39/2/ 39/2/9 39/2/2 39/2/2 ) 5 O 33 F=$ I A -Z > [ 5 +.? + ) 5 O 4 O@ -) 5 W 5> [ * O 3 * 5 ;$.? + ) 5 A F=$ * 392/7/ 393// 392/6/8 392/2/28.? + ) 5 O 37 F=$ I A -Z > [ 5 5L& 5 $"$ 5*) O 3 E4@ 5 ;$.? + ) 5 O 85 5 W 5> [ *.? + ) 5 O 47 F=$ I A -Z > [ 5L& 5 $"$ 5*) O 27 E4@ ) 5 V4 :/& : ID/ ^!7 '"8I$ Z8 *"L; i! *Z8"$"V $ SP = a + a SP + agpr + a DH + a DP + ε t i t i t (3) 2 I J3% 9"&- G3H "8 [@ = 5O - & ($ $ *7F! [; 7Q s! 58I - & *$ V e7/ 'b$f"a 7B "J V '- & LG "A..65 L8. 7Q -J! (3) 7V S8!. 7B "J "$ "6 ($ $ * HI) G V >L8= "$ 'V 7@$ ˆ?$ "6 *. $ V ' $ T E [; * $ "{!&"O."$"V $.T 5 [/ ' Q 5 G "! > G 2. Unit Root Test 3. Augmented Dickey Fuller. $ 2$ V *R Z8 '

19 # ' '9: ; 5Z W f" -3 OC %5 gk$ = t EW % 9 K" & L$/ % K" & L$/ % 9 K" & L$/ 9 i=.&$ :/&.7Q$ 5 7B "J 7; ($ $ [; 7Q s!. nyj S8! "6 a![ ;" DP, -2-5 $ '>K@ $.7T &$ >K@ *7@ ' V * "$ "V $ 3 2 gy6& $ 5=7) 4 ' ^! 5^8ID[ [! "$ "V ])! - {[ *^ *@.{[ ( jv 8[6 4 Q :7T &$ 7 '@ <A 5[.8 8^= SP t = SP t- -.3 SP t DH+.2 GPR+.3 DP s.e p-val.5. (4) >Z ' nyj "6 a![. 5 AB "=@ b:) "$ R. - "$"6 e 2L ^!$ 5L. "a$ P bd; $ '>?a@ U4 $ '8Q i8! "6 a![.7$ 5 U6 [; >Z >E 2V rk [@ "6 >F! ; Z $ U6 -& >Z [; ja.7$ 5 U4 [; >Z '$ 5.$ U 7Q [; U4 ARCH $.!< SPJ, Q3% +R 9"& X! 5!I[! E V 7$ GARCH ARCH L8 *$ L8!TK <A - & i. "$.6 bgb -.[W 7![I. Correlogram 2. Akaike information criterion 3. Schwarz Bayesian criterion 4. Lagrange Multiplier

20 394 "# J! 7V - & S8!. 7Q qa (982)b^! f "6 :.65 O "L; L g *$ - & ' $ "! "O. b=7$ Q #!) W f" -4 OC 7 5I(.8 F-statistic Prob F n R χ 2 ( n) 2 2 * ( n) Prob( χ ) i=.&$ :/& 7 X! 5!I[! * ^= V t ' nyj S8! "6 a![ 5^8ID[ P.6 L8 2 5^8ID[ P * [! <. GARCH*I=7-5 $.$ ' Q 5[! GARCH ;"!%-$ A3$B, -4-5 GARCH 7 j_ *$ 3 r?d; "64 Q gy6& *@ L8 $..65 L8 7 *7![I 5y4V 7 &$ bgb S8!. 8D. "[ GARCH(,) 7 '7Q -$ α -5.7*e *e GARCH O W g -5 2 t t t α β OC h = α + α ε + β h + γ DB γ *e *e.85 : & (5) 7V l" p O!" i=.&$ :/& 2. Autocorrelation 3. Partial Autocorrelation.7& 7$ 52$J S8! 4! K$ * "L;.

21 2... 2# ' '9: ; Z8 <A. 7Q -J! K$ 7V GARCH(,) 95 ja *.@ i!. 43! I$ -& 7F 5= Dx 7 [Y S8! DB *R $.$. P$ *&*.@ 7G9ja 2. I!.@ 7G 43! 5:P 5=.@ E *+!, $ 7!8 * 9: >?@ 6 "$ %& X. U4 -& >!! "8QT 5O4 $ [; >!! $ <A - & 7 * 7![;$ $ ARCH E V 5$ *$ '7 &$ : 7Q 4T (6) 7V S8! "6.6 5 L8 (LM)!TK GARCH ;" DP, & QU Q3% +R 9"&- G3H -6 ;< 7 5I( EW n R F-statistic Prob F χ 2 2 * ( n) Prob( χ 2 ( n) ) i=.&$ :/& 7! V X! 5!I[! V 5Q! 5[y?/ c! ~ '7V S8!, $.6-5[!?P *4V $ X! 5!I[ LG "A $.$ 7!8 * 9: *; >?@ 6 "$ %& & "6 I. e 56 5D/ "$ 5O4 *$ >/?W "$ DI! IB '*+!, $ P Z I$ -4 "$ 9: >?@ 6 "$ %& -J! "6 bd; [I; "R8! $?/ IB "! ^3 "6 6 5$ - 5 ' U4 *7F! [; >Z *43! 6 Z 5& *; 6 "$ %& 7@$ bd; *7F! $ >/?W "$ DI! 5[2 I$ b/ '>/?W "$ IB "6 2 2V -& b:). "$ [; IB '7.O! Z 7! i! *Z T 58B. $ 56.^$ ; E ) O[ >!! 8P 5.@ >/?W - T! T c!

22 394 "# 6 22 GARCH7 ARCH >D/ '7!6 qa (995)4[:! 8!& "6 a![ 5 7$ "8QT 7![I R "6 ) 77V >/?W 7. -J! -J! "6 )7 5 -J! 5Y >/?W 'GARCH >D/ "6 5=B '(7& 5 $.$.( -& bd; * bd; "$ p $ >/?W 7. 77V >/?W "$ *7F! $ IB 5$ *$ >D/ <A! %& 7@$ bd; * $ * "IF - 5 -& $?/..6 L8 5Y 6 "$ %& 7@$ bd; "$ P "! [! $.$. er! 5& >K@ 5 [Y 4R W "$ *$ P 7 6 IF 5& *; : 7Q [Y (7) 7V [Y S8!.! α 2.5*e *e.224 α *e *e #$ %& +3% %! $@, +%$ -7 ;< +,-!!%$ "8" % &C- & 6 α.22 β ,-!!%$ "8" % &C- & 8 α β $@H" W3$X %8" Y$Z ;HI $@H" W3$X %8" Y$Z ;HI i =.&$ :/& '7 5 -J! 77V >/?W "$ DI! IB -4 "6 'α '[Y S8! ldw "R8!. "8 U4 5& >?@ 6 "$ %& X.3-4 "$.22 7F 7T F 77V >/?W "$ DI! *7F! $ IB "6 I. 7. -J! 7! 5 5& *; >?@ %& "6 5:6 T7 $ l$a. H.8V ^! 7 "y _8P / *$ ' X! "=@ * $ 46[ "O. "$ "V $...6 5

23 # ' '9: ; $ i8! 5@DW W "$ $.$ 7JYD$ D2$ >/?W L6 8IT / β.7$ U4 77V >/?W "$ DI! $ IB "6 I. 5.@ 'GARCH >D/ <A 'T 5 ; "@=a "6 *^ <A 5 -J! 5Y "8QT >/?W "$ $ *7F! [; >!! IB "6 ($ $ "6 I!& *.@ "$. "8 U6.5 "$.75 <A.7 >?@ 6 "$ %& X "8QT 5Y >/?W "$ DI! P IB. 5& *; "6 a![.7q$ 5 (989), "i! $ "a$ V "6 *^ "8O! >/?W '5& *; >?@ %& X T '7Q "8LT (989), "i! $6.3 R. "O!.3'7$ U6 β U4 α 5.@) 'T bf8. *8J$ / $ $.7$ 5 U4 4! [; >!! '5& *; >?@ 6 "$ %& $ ( >?@ cq $ '5y4V 7.3 "6 7Q -J! 4! 7 S8! "O. "$ "V *T "R8! "6 T 5 "R8! ' U4 [; *Z '9: *;. Q 5 7 (989), $[ \H ]^-6.7T *7! ($ $ '7T Q 4! "7F "6 a![ X. $ 8P 77R 5:G bb 5O $ boj. s * 5G _P *8 5[2 *7 >;L -& '($ *! \ * 6Q.{[ 2T! *I$ -7Q 5G _P "@ *T boq.{[ "D!V *; <=; ($ >KD -O -7Q 7 8[2 ":[V, $ <=; ($ >?@ er! *+!, $ P$ * [ > * "!$ ($, $.7.8I ($ >KD 7G 5 7B b;7b 7$! > * "!$ ldw "O W.T > G ($, $ 4$ I$ 5= $ g -& fq 5T8IT "$ "V $ ($ $ -T7..6 ]_ *$ 7.8I *& D! "$ "6 5!T " *$

24 394 "# ! b;7b P " ? "6 4$ \.G npk$ L8 $ 7.Q? -T7..6 ]_ -T7..6 7= '! 4$ ($ *$ 5 zy... byi 5O.7.[! P \. 2 Š& ' J& '5& *; - 3 * "F8J *4$ 3 v.7r +8$& *$ "8L - {[ $ $ 9:8Y b / *T E o)$ ' "V 5= $ "6 5[2 I$ *; >?@ c A ' ":[V -&. 5= *$ 56.{[.-& >!! *7F!*$* [; $ -&*TE 5& L8 $ "! 5! * >/?W L8 $ 7Q? "=F *; <=; - "6 5& *; >?@ 6 "$ %& E 'GARCH - ($ 5O4 $ [; >!! * $ 'T 5 > G 7!8 * 9: >Z [; ja '>?a@ U4 $ '-J! S8!. ; 5$ [; U4 2V rk [@ "6 >F! ; Z $ U6 -&.7$ 5 U4 [; >Z '$ 5.$ U 7Q.{[ >?@ %& E 5= : Q 5 "$ 7Q? "=F $ >KD E 5 5:6 =B e2 [; >!! * $ 5& *; 56 o)$ 5:6 W "$ [; >!! $ -& E $ $ >/?W F8! / * 9: >?@ 6 "$ %& "6 -J! * "8 5= "$. $ 5O4 $ [; >!! $ 43! 5:P 5=.@ E *+!, $ 7!8 %& "6 LT - 5 e "$. U4 -& >!! "8QT $.$ 7JY$ D2$ >/?W L6 8IT / 5& *; >?@ * "8 '^ ]W. U4 77V >/?W "$ DI! $ IB X "8QT 5Y >/?W "$ DI! P IB ($ $ "6 5 -J! "6 LT - 5 c [R. 5& *; >?@ 6 "$ %&. Option 2. Swap 3. Hedging

25 # ' '9: ; 7Q - ($ $ 56 U4 o/$ 7!8 * 9: *; 6"$ %& *; >?@ 6 "$ %& "6 6 *T "R8! - 5 c [R. 5 '"@=a S8! "$ "V $ =. "8JT - ($ $ 56 D2$ o/$ 9: *$ ek >[[_ 6 "G B 58= -^8 "$ - hb \! ]B >F U6 $ -OK7B 7..6 zy ($, $ 8IT ($, $ ($ $ 5Q P o)$.{[ \ * 6Q F8I.7. er! ek >7; 8 _^`" a" -7 +%b (2.($ $!@ '-($"ODQ 7 6Q '! > *"%?$- %& ($ ) $ *+!, $ '(392)-($"ODQ 7 6Q-2 5Q 7[/ $ =@ 6 '(393).-8I '($ $!@ ' '-.6 -($"ODQ 7 6Q-3.-$&'($ $!@' '-($ #?2 (q - Antoniou, A. and P. Holmes (995), "Futures Trading, Information and Spot Price Volatility: Evidence for the FTSE- Stock Index Futures Contract Using GARCH", Banking & Finance, Vol. 9, No., pp Becketti, S. and D. J. Roberts (99), "Will Increased Regulation of Stock Index Futures Reduce Stock Market Volatility?", Federal Reserve Bank of Kansas City Economic Review, November /December, pp Bessembinder, H. and P. J. Seguin (992), "Futures-Trading Activity and Stock Price Volatility", Journal of Finance, Vol. 47, No. 5, pp Bohl, M. T., Salm, C. A. and B. Wilfling (2), "Do Individual Index Futures Investors Destabilize the Underlying Spot Market?", Journal of Futures Markets, Vol. 3, No., pp Bollerslev, T. (986), "Generalised Autoregressive Conditional Heteroscedasticity", Journal of Economctrics, Vol. 33, pp

26 394 "# Bologna, P. and L. Cavallo (22), "Does the Introduction of Stock Index Futures Effectively Reduce Stock Market Volatility? Is the Futures Effect Immediate? Evidence from the Italian Stock Exchange Using GARCH", Applied Financial Economics, Vol. 2, No. 3, pp Chiang, M. and C. Wang (22), "The Impact of Futures Trading on Spot Index Volatility: Evidence for Taiwan Index Futures", Applied Economics Letters, Vol. 9, No. 6, pp Cox, C. C. (976), "Futures Trading and Market Information", Journal of Political Economy, Vol. 84, pp Engle, R. F. (982), "Autoregressive Conditional Heterosccdasticity with Estimates of the Variance of United Kingdom Inflation", Econometrica, No. 5, pp Engle, R. F. and T. Bollerslev (986), "Modelling the Persistence of Conditional Variances", Econometric Reviews, No. 5, pp Figlewski, S. (98), "Futures Trading and Volatility in the GNMA Market", Journal of Finance, Vol. 36, No. 2, pp Fleming, J. (999), "The Impact of Energy Derivatives on the Crude Oil Market", Energy Economics, No.2, pp Gulen, H. and S. Mayhew (2), "Stock Index Futures Trading and Volatility in International Equity Markets", Journal of Futures Markets, Vol. 2, No. 7, pp Hadsell, L. A. and Marathe H. A. Shawky (24), "Estimating the Volatility of Wholesale Electricity Spot Prices in the US", Energy Journal, No. 25, pp Harris, L. (989), "S&P 5 Cash Stock Price Volatilities", Journal of Finance, No. 44, pp Lee, C. L. S. and M. Lee Stevenson (24), "Futures Trading, Spot Price Volatility and Market Efficiency: Evidence from European Real Estate Securities Futures", The Journal of Real Estate Finance and Economics, Vol. 48, Issue 2, pp Lee, S. B. and K. Y. Ohk (992), "Stock Index Futures Listing and Structural Change in Time-Varying Volatility", Journal of Futures Markets, Vol. 2, No. 5, pp Pok, W. C. and S. Poshakwale (24), "The Impact of the Introduction of Futures Contracts on the Spot Market Volatility: The Case of Kuala Lumpur Stock Exchange", Applied Financial Economics, Vol. 4, No. 2, pp Ross, S. A. (989), "Information and Volatility: The No-Arbitrage Martingale Approach to Timing and Resolution Irrelevancy", Journal of Finance, No. 44, pp Rubinstein, M. (987), "Derivative Assets Analysis", Journal of Economic Perspectives, Vol., No. 2, pp

27 # ' '9: ; 2- Sarris, A. (984), "Speculative Storage, Futures Markets and the Stability of Commodity Prices", Econ. Inq., Vol. 22, No., pp Taylor, G. R. Leuthold (974), "The Influence of Futures Trading on Cash Cattle Price Variations", Food Res. Inst. Stud, No.3, pp Working, H. (953), "Futures Trading and Hedging", American Economic Review, Vol. 43, No. 3, pp