沪深300股指期货动态套期保值策略的效果分析_图文

1、 统计与信息论坛 收 益 方 差 均 值 为 1. 756E - 04, 略 小 于 MA- BGARCH 的收益方差均 值 1. 787E - 04; EC - BGARCH 套期保值效果指标 H E 为 0. 552, 略大 于 MA- BGARCH 套期保 值效果指标 H E0. 544, 可以看出在这两个动态 模型中 EC- BGARCH 的 套期保值效果较佳。 第四, 在四个模型中 , BGARCH - X 模型的动 态套期保值效果最佳。通过充分考虑沪深 300 指数 现货与沪深 300 期货两个市场的协整关系 , 引入误 差修正项提高套期保值效果 , 它的最大条件方差在 几个模型中

2、最小 , 约为 0. 000 38。套期保值效果指 标 H E 为 0. 606。 参考文献 : 1 2 3 4 5 6 7 8 9 严渝军 . 机构投资者的对冲工具 股指期货 J . 金融博览 , 2006( 9 : 61- 62. Wee Ching Pok, P oshakw ale Sunil S, F or d J L. Stock index futures hedg ing in the emer ging M ala ysian market J . G lobal F inance Journal, 2009, 20( 3 : 273- 288 . M cM illan Da

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6、ing ton L H . T he hedg ing perfo rmance of the new futures markets J . T he Jo urnal of Finance, 1979( 34 : 157- 170. Analyses of Time- Varying Hedging Effectiveness by Using CSI300 Futures ZH A O Wan so ng , SU N Wan g ui, H AN Rong rong ( School of Economic and M anag ement, N or thw est U niver

7、sity, Xi& an 710127, China Abstract: T his paper invest igat es t he t ime - v ar ying hedging eff ect iveness using BGARCH 、 MA( 1 - BGARCH 、 EC - BGARCH and BGARCH - X mo dels w hich det ermined hedge rat ios. By invest ig at ing t he conditio nal variance and t he H E index of t he four m odels, t he results sug gest t hat the GARCH - X model pr ovides the mo st ef fect ive hedge; t he EC- BGARCH and MA ( 1 - BGARCH models ar e placed in t he middle; t he BGARCH models perf orms w or