风险最小化套期保值比例估计:基于RV-Copula模型  

Estimation of Risk Minimization Hedging Ratio:Based on RV-Copula Model

作　　者：李勇[1] 方兆本[1] 韦勇凤[1] 

机构地区：[1]中国科学技术大学管理学院金融信息重点实验室,安徽合肥230026

出　　处：《数理统计与管理》2015年第2期340-348,共9页Journal of Applied Statistics and Management

基　　金：国家自然科学基金资助项目(71172214;71172213)

摘　　要：随着中国第一只股指期货—沪深300股指期货合约的推出,基于沪深300的期货现货套期保值交易受到广泛关注。风险最小化套期保值比例估计成为影响套期保值交易有效性的关键问题。本文提出了基于已实现波动率和Copula(RV-Copula)相结合的风险最小套期保值比例估计方法,并基于沪深300指数期货和现货数据进行了实证分析。实证结果表明,相对于线性相关系数,本文提出的RV-Copula模型能够更准确地度量沪深300指数期货和现货价格的相关性,从而给出更合理的风险最小套期保值比例估计,提高套期保值交易有效性。本研究是对风险最小套期保值比例估计研究的有益补充,特别是对高频数据背景下的套期保值实践具有重要指导意义。With the listing of the first stock index futures in China-CSI 300 stock index futures contract,the hedging transactions based on the CSI 300 futures and spots attracted widespread attention.The estimation of risk minimization hedging ratio becomes the key issue that affect the effectiveness of hedging.The estimation method of Hedging ratio based on realized volatility and Copula（RV-Copula）was proposed in the paper,and empirical analysis based on the CSI 300 index futures and spots data was discussed.The empirical results show that,compared to the linear correlation coefficient,the proposed RV-Copula model can measure the correlation of the CSI 300 index futures and spot prices more accurately,and give more reasonable estimation of minimum risk hedge ratio,to improve the effectiveness of hedging transactions.The research is a useful complement to the estimation of minimum risk hedge ratio,especially has the important guiding significance for hedging practice in the context of high-frequency data.

关 键 词：风险最小化 套期保值比例 COPULA 已实现波动 

分 类 号：O212[理学—概率论与数理统计]