The rest of the paper is set out as follows. Section 2 provides an overview of the theoretical arguments that motivate nonlinear mean- reverting behavior in the futures basis. Section 3 discusses the class of nonlinear models employed for modeling the futures basis. Section 4 describes the data set. Section 5 reports the results of summary statistics and univariate unit root tests applied to basis data, cointegration tests applied to a regression involving the spot price and the futures price, lin- earity tests applied to the basis data, and the estimation results from employing nonlinear models to characterize the basis of the S&P 500 and the FTSE 100 indices
