Forecasting Stock Index Futures Intraday Returns: Functional Time Series Model

抄録

It is of great significance to forecast the intraday returns of stock index futures. As the data sampling frequency increases, the functional characteristics of data become more obvious. Based on the functional principal component analysis, the functional principal component score was predicted by BM, OLS, RR, PLS, and other methods, and the dynamic forecasting curve was reconstructed by the predicted value. The traditional forecasting methods mainly focus on “point” prediction, while the functional time series forecasting method can avoid the point forecasting limitation, and realize “line” prediction and dynamic forecasting, which is superior to the traditional analysis method. In this paper, the empirical analysis uses the 5-minute closing price data of the stock index futures contract (IF1812). The results show that the BM prediction method performed the best. In this paper, data are considered as a functional time series analysis object, and the interference caused by overnight information is removed so that it can better explore the intraday volatility law, which is conducive to further understanding of market microstructure.