滬深300股指期貨動(dòng)態(tài)套期保值策略的效果分析_圖文

1、 統(tǒng)計(jì)與信息論壇 收 益 方 差 均 值 為 1. 756E - 04, 略 小 于 MA- BGARCH 的收益方差均 值 1. 787E - 04; EC - BGARCH 套期保值效果指標(biāo) H E 為 0. 552, 略大 于 MA- BGARCH 套期保 值效果指標(biāo) H E0. 544, 可以看出在這兩個(gè)動(dòng)態(tài) 模型中 EC- BGARCH 的 套期保值效果較佳。 第四, 在四個(gè)模型中 , BGARCH - X 模型的動(dòng) 態(tài)套期保值效果最佳。通過(guò)充分考慮滬深 300 指數(shù) 現(xiàn)貨與滬深 300 期貨兩個(gè)市場(chǎng)的協(xié)整關(guān)系 , 引入誤 差修正項(xiàng)提高套期保值效果 , 它的最大條件方差在 幾個(gè)模型中

2、最小 , 約為 0. 000 38。套期保值效果指 標(biāo) H E 為 0. 606。 參考文獻(xiàn) : 1 2 3 4 5 6 7 8 9 嚴(yán)渝軍 . 機(jī)構(gòu)投資者的對(duì)沖工具 股指期貨 J . 金融博覽 , 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