股指期货套期保值最优比率混频方法研究  

A Study of Optimal Ratio of Stock Index Futures Hedging based on a Mixed Frequency Approach

作　　者：王杰 WANG Jie(Lingnan College,Sun Yat-sen University,Guangzhou 510275,China;Post-doctoral Innovation Base,China Resources Capital Investment Holdings Co.,Ltd.,Shenzhen 518048,China)

机构地区：[1]中山大学岭南学院 [2]华润金控投资有限公司博士后创新实践基地

出　　处：《商业研究》2019年第7期84-91,共8页Commercial Research

基　　金：教育部社科基金项目“中国金融市场资产价格的共跳性研究”,项目编号:15YJA790089

摘　　要：套期保值的核心问题是如何更精准地估计最优套期保值比率。高频数据和低频数据在金融领域的应用各有优劣,综合使用两种不同频率的数据分析套期保值问题可以吸取这两种数据信息的优点。通过使用低频数据估计期货与现货的方差和使用高频数据估计已实现相关系数,两者最终确定了混频套期保值比率,并与使用单一频率数据确定的套期保值比率进行绩效评估的比较,发现混合低频数据和高频数据确定的混频套期保值不仅在样本内的表现十分突出,而且在样本外的绩效评估中也显著优于使用单一频率确定的套期保值策略。The core of hedging is how to estimate the optimal hedge ratio more accurately.Since high frequency data and low frequency data have advantages and disadvantages in the financial applications,respectively,combining the two different frequency data to study the hedging may get the combined advantages.The optimal hedging ratios of the mixed frequency hedging are determined by the variance of the futures and spot computed by the low frequency data and the realized correlation by the high frequency data.The results show that compared with the single frequency hedging whose optimal hedging ratios are determined by single frequency data,the mixed frequency hedging performs better not only in sample but also out of sample.

关 键 词：套期保值 混频方法 DCC-GARCH HAR模型 

分 类 号：F830.9[经济管理—金融学] F224