index | contract | model category | index | contract | model category |
logarithmic yield | IC1705 | GARCH | Position change rate | IC1705 | ARMA-GARCH |
IC1706 | GARCH | IC1706 | ARMA-GARCH | ||
IC1709 | ARMA-GARCH | IC1709 | ARMA-GARCH | ||
IC1712 | GARCH | IC1712 | ARMA-GARCH | ||
volume change rate | IC1705 | ARMA | Price fluctuation | IC1705 | ARMA-GARCH |
IC1706 | ARMA | IC1706 | ARMA-GARCH | ||
IC1709 | ARMA | IC1709 | ARMA-GARCH | ||
IC1712 | ―― | IC1712 | ARMA-GARCH | ||
spread | IC1705-IC1706 | ARIMA-GARCH | spread | IC1709-IC1712 | ARIMA-GARCH |