沪深300股指期货动态套期保值比率和有效性研究——基于Copula-GARCH-X模型的应用  

Research on the Dynamic Hedging Ratio and Effectiveness of CSI 300: Based on Copula-GARCH-X model application

作　　者：戴晓凤[1] 何铮[1] 唐微微[1] 

机构地区：[1]湖南大学金融与统计学院,湖南长沙410079

出　　处：《中南大学学报（社会科学版）》2013年第3期1-5,共5页Journal of Central South University：Social Sciences

基　　金：国家社科基金资助项目(11CGL022)

摘　　要：套期保值是利用期货交易进行风险规避的重要手段,套期保值比率的确定和有效性检验是套期保值业务的核心问题。在Copula-GARCH模型的基础上,考虑到误差修正项对波动性的影响,构建了二元Copula-GARCH-X模型来估计沪深300股指期货动态套期保值比率,并依据风险最小化原则对套期保值的有效性进行了检验和对比。研究结果表明,纳入误差修正项的GARCH-X模型和Copula-GARCH-X模型要显著优于传统模型;而且研究结果显示未结合Copula函数的GARCH-X模型的套保效果还要优于Copula-GARCH-X模型。Hedging is an important function of futures to reduce the risks.Hedging ratio and the effectiveness of hedging are the core factors of modern hedging theory.In order to improve the hedge ratio estimation method,this paper combined with the technology of Copula and GARCH model,mainly based on the CSI 300 index and stock index futures as a sample to study the two major issues： hedge ratio and the effectiveness of hedging.Research results show that using the dynamic model for the estimation of optimal hedging ratios is the best based on the risk minimization principle.

关 键 词：沪深300股指期货 动态套期保值比率 套期保值有效性 Copula-GARCH-X模型 

分 类 号：F832.5[经济管理—金融学]