时-频域视角下最优套期保值比率研究——基于集成EEMD-SJC Copula-GARCHSK模型  

Optimal hedging ratio from time-frequency domain perspective——Based on integrated EEMD-SJC Copula-GARCHSK model

作　　者：朱鹏飞 唐勇 卢团团 林娟娟 ZHU Pengfei;TANG Yong;LU Tuantuan;LIN Juanjuan(School of Economics and Management,Fuzhou University,Fuzhou 350108,China;Key Laboratory of Financial Mathematics(Putian University),Fujian Province University,Putian 351100,China;Fujian Provincial Key Laboratory of Finance and Technology Innovation,Fuzhou 350116,China)

机构地区：[1]福州大学经济与管理学院,福州350108 [2]金融数学福建省高校重点实验室(莆田学院),莆田351100 [3]福建省金融科技创新重点实验室,福州350116

出　　处：《系统工程理论与实践》2020年第10期2563-2580,共18页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71573042,71973028);福建省自然科学基金(2017J01518);金融数学福建省高校重点实验室(莆田学院)开放课题(JR201804)。

摘　　要：针对以往套期保值比率估计模型忽略多时间尺度价值和忽略高阶矩波动时变特征的不足,本文基于时-频域视角,将EEMD方法和GARCHSK方法引入到套期保值比率估计过程中.同时也鉴于分解后的各个时间尺度上建模结果仅能包含单一频率信息,又采用"分解-集成"思想,将各个时间尺度上的建模结果进行集成,最大限度挖掘有效信息,兼容不同时间尺度特征.基于以上工作,本文最终提出集成EEMD-SJC Copula-GARCHSK套期保值比率估计模型.采用我国沪深300期现货数据,本文进行了套期保值实证检验和分析,结果表明:无论在全样本还是样本外套期保值检验,本文提出的模型在收益、修正后夏普比率、平均套期保值比率、效用水平四个指标上明显优于对照组,但是由于集成EEMD-SJC Copula-GARCHSK模型包含了高频时间尺度信息且多目标集成的原因,在方差减少率指标上表现稍逊色.稳定性检验佐证了以上结论.本研究对于投资者优化资产配置、风险管理以及期现货间相依结构刻画等方面具有现实意义和理论价值.Aiming at the deficiencies of previous hedge ratio estimation models,which igore the multiscale value and the time-varying characteristics of high-order moment fluctuation,in this study,EEMD and GARCHSK methods are applied in the process of estimating the optimal hedging ratio.Furthermore,considering the fact that the modeling results at different time scales can only contain single frequency information,we also use the idea of"decomposition-integration"in this paper.Based on the"decompositionintegration",the modeling results at different time scales are integrated to make maximum use of the effective information and consider the characteristics of different time scales.Based on the above work,an integrated EEMD-SJC Copula-GARCHSK hedging method,which is based on time-frequency domain perspective,is proposed to estimate the optimal hedging ratio.Using data of CSI300 index spot and futures,various hedging tests are performed,separately.The empirical results indicate that:Whether in full-sample or out-sample test,the integrated EEMD-SJC Copula-GARCHSK hedging method performs significantly better than other methods,in terms of profitability,revised sharp ratio,hedging ratio,and utility.However,due to the high frequency information contained in integration result and multiobjective integration,the performance is slightly worse off in term of risk.Robustness results verify the above conclusions.This study has practical and theoretical values for investors to optimize asset allocation,manage risk and correlation between the futures and the spot.

关 键 词：最优套期保值比率 时-频域 高阶矩波动时变特征 分解-集成 集成EEMD-SJC Copula-GARCHSK模型 

分 类 号：F830.9[经济管理—金融学]