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  

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

作　　者：佟孟华[1] 

机构地区：[1]东北财经大学经济计量分析与预测研究中心

出　　处：《数量经济技术经济研究》2011年第4期137-149,共13页Journal of Quantitative & Technological Economics

基　　金：国家社会科学基金项目(项目号:2007JBY159);辽宁省创新团队项目(项目号:2009T028)的资助

摘　　要：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。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 char- acteristics 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 dynamic ECM - BGARCH （1, 1） model with time-vary characteristics, autocorrelation and conditional het- eroskedasticity. The model consider the characteristics of empirical data and get more precise of optimal hedge ratios. Thirdly, the empirical results show that this model has advantage of existing hedge ratios models.

关 键 词：沪深300股指期货 动态套期保值 ECM—BGARCH(1 1)模型 

分 类 号：F830[经济管理—金融学]