A Forecasting Model for Evaluating the Asymmetric Impactson the Basis of the Volatility of Futures GONG Lan-jie, ZHANG Long-bin

This paper discusses the asymmetric impacts on the basis on the volatility of Shanghai copper futures. The results of the empirical study suggests that the asymmetric effect is significant. The negative basis impacts the volatility more significant than the positive basis does. The out-sample contrasts show that forecasting the copper volatility evaluating the asymmetric effects can reduce the forecasting error and improve the forecast effects.