基于高频数据的沪深300股指期货最优套期保值比例研究  

Research on the Optimal Hedging Ratio of Shanghai and Shenzhen 300 Stock Index Futures Based on High Frequency Data

作　　者：顾承虎 吕文俊 Gu Chenghu;Lv Wenjun(Shanghai University)

机构地区：[1]上海大学

出　　处：《哈尔滨师范大学自然科学学报》2021年第5期8-16,共9页Natural Science Journal of Harbin Normal University

摘　　要：针对高频数据背景下基于股指期货套高频数据的最优期保值比例的确定问题,收集并处理沪深300指数期货与现货日度频率及5 min频率的最高价、最低价和收盘价,综合使用金融时间序列的相关分析方法,建立OLS、B-VAR、ECM和ECM-GARCH等模型,使用EViews软件实现,结合风险最小化原则,使用收益方差法评估套期保值绩效,最终得到日度频率和5 min频率收益率序列下各模型的套期保值比率并分析了套期保值绩效,发现日度频率数据下,各模型套保绩效差别较大,套保技术对套保绩效有较大影响;5 min频率数据下,各模型套保绩效差别很小,即信息效率的提高可以弥补技术效率的不足.In view of the problem of determining the optimal hedging ratio based on the high-frequency data set of stock index futures under the background of high-frequency data,in this paper,the daily frequency and the highest price,lowest price and closing price of Shanghai and Shenzhen 300 index futures and spot are collected and processed,and the OLS,B-VAR,ECM and ECM GARCH models are established by using the correlation analysis method of financial time series,and implements them by Eviews software.Based on the principle of risk minimization,the hedging performance of each model is evaluated by the income variance method.Finally,the hedging ratios of each model under the daily frequency and 5-minute frequency yield series are obtained,and the hedging performance is analyzed.It is found that there is little difference between the hedging performance of each model under the daily frequency data and the 5-minute frequency data.

关 键 词：沪深300指数 套期保值 B-VAR模型 ECM-GARCH模型 

分 类 号：F803.9[经济管理]