基于时变VaR的动态套期保值策略研究

套期保值可以规避股市系统性风险，文章研究动态套保策略，以VaR最小化为目标，弥补了现有研究的两点不足．文章建立了ECM—BGARCH模型来拟合市场波动，椎导了基于时变VaR的动态套保比模型，满足每日VaR最小且有效；然后，对我国股指期货的实证研究反映出，相比静态模型，动态模型体现出较好的应用效果：（1）提高了套保绩效；（2）降低了平均VaR，意味着需要更少的风险准备金，节约了套保者的资金成本，也更容易达到资金监管要求；（3）取得了更准确的VaR失效率，时变VaR更准确反映了市场异常．

A Research on Dynamic Hedging Strategy Based on Minimized Time-varying VaR

Systemic risk of stock market can be evaded by hedging, and this paper researches the dynamic hedging strategy, solving two existing researching inadequacies. This paper, based on minimized VaR, establi- shes ECM-BGARCH model to fit the volatility of market, and deduces the optimal dynamic hedging ratio, which meanwhile makes daily VaR minimized and effective. After empirical studies of China＇s stock index fu- tures market , compared with the original static model, the dynamic model has a good performance in applica- tion： （ 1 ） improving the hedging effectiveness ; （2） reducing the average VaR, which means less risk reserve fund is required saving the capital cost which achieves capital regulatory requirements more likely; （3）getting more accurate VaR failure rate, which means that the time-varying VaR reflects the market exceptions more accurately.