| 基于ECM-GARCH 模型的沪深300指数期货套期保值策略的研究 |
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| 引用本文： | 何玲,朱家明. 基于ECM-GARCH 模型的沪深300指数期货套期保值策略的研究[J]. 海南师范大学学报(自然科学版), 2016, 29(2): 143-148 |
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| 作者姓名： | 何玲 朱家明 |
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| 作者单位： | 安徽财经大学金融学院,安徽蚌埠233030,安徽财经大学统计与应用数学学院,安徽蚌埠233030 |
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| 摘 要： | 首先选取沪深300指数日收盘价和沪深300股指期货日收盘价作为原始数据,对其进行描述性统计分析、平稳性检验及协整检验,得出两个日收盘价的对数收益率是平稳的,且两个收盘价之间是协整的.其次,巧妙运用普通最小二乘法、B-VAR、误差修正、GARCH(1,1)和ECM-GARCH模型,研究股指期货最优套期保值比率,得出ECM-GARCH模型最优.最后,分析沪深300股指期货套期保值策略的构建问题.运用动态调整法,从多头和空头套期保值策略进行分析,需要每天计算最优套期保值比率来确定最优股指期货合约份数.
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| 关 键 词： | 沪深300指数 沪深300股指期货 最优套期保值比率 最小方差 动态调整法 |
| 收稿时间： | 2016-02-27 |
China''s CSI 300 Index of Futures Hedging Strategy Based on ECM-GARCH Model |
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| HE Ling and ZHU Jiaming. China''s CSI 300 Index of Futures Hedging Strategy Based on ECM-GARCH Model[J]. Journal of Hainan Normal University:Natural Science, 2016, 29(2): 143-148 |
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| Authors: | HE Ling and ZHU Jiaming |
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| Abstract: | Selecting the daily closing price of CSI 300 index and the closing price of CSI 300 stock index futures as the original data, the article carries out a descriptive statistical analysis, stationary test and cointegration test, andconcludes that the logarithmic return rate of the two day-closing prices are stable, and the two closing prices are cointegrated. Then, using ordinary least squares method, error correction, B-VAR, GARCH (1, 1) and ECM-GARCH model, the article studies the stock index futures optimal hedging ratio, and finds that the optimal model is ECM-GARCH model. Finally, it analyzes the construction of CSI 300 stock index futures hedging strategy byusing the method of dynamic adjustment and analyzing from the long and short hedging strategy, and finds that investors need to calculate the optimal hedge ratio of every day to determine the optimal number of futures contracts of stock index futures. |
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