基于t分布的BEEK-MVGARCH的股指期货套期保值率研究  

Study on the hedging rations of stock index futures based on T distribution of BEEK-MVGARCH model

作　　者：郑帅[1] 王建国[1] 程晓雪[1] 

机构地区：[1]西安建筑科技大学理学院,陕西西安710055

出　　处：《陕西科技大学学报（自然科学版）》2013年第2期155-158,共4页Journal of Shaanxi University of Science & Technology

摘　　要：在最小方差套期保值理论的基础下,引入t分布对多元BEEK-MVGARCH模型刻画波动率,计算了BEEK-MVGARCH模型的套期保值绩效.其结果显示:t分布的BEEK-MV-GARCH模型的套期保值效果好于正态分布的BEEK-MVGARCH.In this paper, in the framework of minimum variance hedging theory, we change the residual that was originally assumed following multivariate normal distribution for that following multivariate t distribution and calculation the hedging performance of the BEEK- MVGARCH. The empirical results show that： the hedging performance of residual following T distribution model is better than corresponding residual error following normal distribu- tion.

关 键 词：最小方差套期保值 BEEK--MVGARCH 分布模型 多元T分布 

分 类 号：F830[经济管理—金融学]