VaR最小化的股指期货套期保值比率研究  

Study on Mini-VaR Hedging with Stock Index Futures

作　　者：孙燕红[1] 费广平[2] 

机构地区：[1]上海大学悉尼工商学院,上海201800 [2]中国人民银行合肥中心支行,安徽合肥230091

出　　处：《数理统计与管理》2015年第4期750-760,共11页Journal of Applied Statistics and Management

基　　金：国家自然科学基金(71101135);中央高校基本科研业务费专项资金资助

摘　　要：以VaR最小化为目标,结合波动率预测建立套期保值模型,充分反应了金融收益率尖峰厚尾和波动聚集的特征。通过对沪深300股指期货的日结算数据实证研究发现,在现货组合与股指期货高相关性的条件下,VaR最小化套期保值较最小方差套期保值能进一步降低组合样本外收益率的VaR值,EWMA与Cornish-Fisher展开相结合的方法能取得最好的VaR最小化套期保值效果。Within the framework of mini-VaR hedging,this paper builds a model which combines Cornish-Fisher expend and volatility forecasting to compute hedging ratio.Amongst,VaR and volatility modeling respectively reflect the features of fat tail and volatility clustering of financial rate of return.Empirical studies of daily settlement price data of Shanghai and Shenzhen 300 stock index future show mini-VaR hedging reduces more VaR value of portfolio out of sample than the mini-variance hedging under the condition of high correlation between spot portfolio and futures.We also find that,the combinations of Cornish-Fisher expend and EWMA have a better result in hedging.

关 键 词：最小VaR套期保值 沪深300股指期货 GARCH EWMA Cornish-Fisher展开 

分 类 号：F830.91[经济管理—金融学] O212[理学—概率论与数理统计]