沪深300股指期货动态套期保值比率模型估计及比较——基于修正的ECM-BGARCH(1,1)模型的实证研究

本文以沪深300股指期货的真实交易数据及沪深300指数为研究对象,在最小方差套期保值的基础上,建立了ECM-BGARCH(1,1)的沪深300股指期货对沪深300指数的动态套期保值模型。其具体特色是:与利用沪深300股指期货仿真交易数据相比,通过利用沪深300股指期货的真实数据得到的最优套期保值比率更具真实性;通过建立具有时变特征、含有自相关和条件异方差的动态BGARCH(1,1)模型,不但考虑了实证所用数据的实际特点,而且保证了套期保值比率预测的准确性;实证研究结果表明,该模型优于现有的套期保值模型。

Shanghai-Shenzhen 300 Stock Index Futures Dynamic Hedge Ratios Model Estimation and Its Comparison

We develop an dynamic hedging model based on the ECM-BGARCH(1,1)model between Shanghai-Shenzhen 300 Stock Index Futures and its Index according to the minimum variance hedge ratio using actual transaction data of Shanghai-Shenzhen 300 Stock Index Futures and its index in this paper.The characteristics lie on three aspects.Firstly,we get really optimal hedge ratios by using actual transaction data of Shanghai-Shenzhen 300 Stock Index Futures rather than simulation of transaction data.Secondly,we establish a ...