| 沪深300股指期货动态套期保值策略的效果分析 |
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| 引用本文： | 赵婉淞,孙万贵,韩蓉蓉.沪深300股指期货动态套期保值策略的效果分析[J].统计与信息论坛,2010,25(12):69-74. |
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| 作者姓名： | 赵婉淞 孙万贵 韩蓉蓉 |
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| 作者单位： | 西北大学经济管理学院,陕西西安710127 |
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| 摘 要： | 对比了BGARCH、MA-BGARCH、EC-BGARCH和BGARCH-X这四种动态套期保值策略的保值效果,实证分析四种套期保值模型下资产收益的条件方差与HE指标,得出BGARCH-X的套期保值效果最佳,EC-BGARCH与MA-BGARCH的套期保值效果次之,BGARCH的套期保值效果最差的结论。
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| 关 键 词： | 最优套期保值比 双变量GARCH-X模型 沪深300现货 沪深300期货 HE指标 |
Analyses of Time-Varying Hedging Effectiveness by Using CSI300 Futures |
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| ZHAO Wan-song,SUN Wan-gui,HAN Rong-rong.Analyses of Time-Varying Hedging Effectiveness by Using CSI300 Futures[J].Statistics & Information Tribune,2010,25(12):69-74. |
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| Authors: | ZHAO Wan-song SUN Wan-gui HAN Rong-rong |
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| Institution: | (School of Economic and Management,Northwest University,Xi＇an 710127,China) |
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| Abstract: | This paper investigates the time-varying hedging effectiveness using BGARCH、MA（1）-BGARCH、EC-BGARCH and BGARCH-X models which determined hedge ratios.By investigating the conditional variance and the HE index of the four models,the results suggest that the GARCH-X model provides the most effective hedge;the EC-BGARCH and MA（1）-BGARCH models are placed in the middle;the BGARCH models performs worst. |
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| Keywords: | optimal hedge ratio bivariate GARCH-X model CSI300 CSI300 futures HE index |
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