基于已实现二阶矩预测的期货套期保值策略及对股指期货的应用  

Hedging strategy with futures based on prediction of realized second moment:An application to stock index futures

作　　者：韩立岩[1] 任光宇[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100191

出　　处：《系统工程理论与实践》2012年第12期2629-2636,共8页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70831001);国家自然科学基金创新群体

摘　　要：资产收益的跳跃行为给套期保值决策带来了挑战.提出了考虑跳跃、基于预测的VecHAR-RVRCOV-J模型,首次将高频数据中蕴含的跳跃信息引入套期保值决策,对期货和现货收益率的已实现二阶矩做异质滞后阶向量自回归,构造动态套期保值比率的预测统计量.实证应用中以沪深300股指期货及沪深300指数为对象构建套期保值策略,在样本内和样本外的综合套保绩效考核上,新模型优于常用的二元GARCH模型.Jumps in asset returns bring challenge for hedging decision. This article presents the prediction based VecHAR-RVRCOV-J futures hedging model which allows for jumps. To make the hedging decision, jump variation implied in high-frequency data is integrated for the first time by the new model into the vector heterogeneous autoregressive system for realized second moment of the spot and futures returns. In empirical application, CSI300 futures and its underlying index are used to construct hedging strategy. Both in-sample and out-of-sample performance criteria show that the proposed method is better than conventional bivariate GARCH models.

关 键 词：动态套期保值 跳跃行为 高频数据 VecHAR-RVRCOV—J模型 沪深300股指期货 异质信念 

分 类 号：F830.9[经济管理—金融学]