股指期货套期保值模型发展的比较评述  

Comparison and Criticism on the Development of Hedging Models with Stock Index Futures

作　　者：方世建[1] 桂玲[1] 吴博[1] 

机构地区：[1]中国科学技术大学管理学院,安徽合肥230026

出　　处：《中国管理科学》2008年第S1期241-245,共5页Chinese Journal of Management Science

摘　　要：运用股指期货套期保值的理论和实践是随着套期保值模型的改进而不断发展的。本文在总结OLS、VAR及VECM等静态套期保值模型的基础上,介绍了二元广义自回归条件异方差(B-GARCH)模型、卡尔曼滤波(Kal- man filter)以及马尔可夫状态转换(Markov regime switching)等模型在套期保值中的应用。从理论上解释了动态模型改进套期保值绩效的原因,为国内投资者运用股指期货进行套期保值提供了模型选择的建议。The theory and operation of hedging with stock index futures are developed with the evolution of hedging models.On the basis of summarizing the static models like OLS,VAR and VECM,this paper introduced the BGARCH model,the Kalman filter and Markov regime switching model and their application in hedging.How the improvement of models can improve the hedge efficiency is explained theoretically,and some suggestions of model selection are provided for investors who want to hedge with stock index futures.

关 键 词：股指期货 套期保值 模型 比较 

分 类 号：F224[经济管理—国民经济] F832.51