股指期货的最优套期保值率实证研究——基于沪深300指数期货仿真交易视角

Optimal Hedging Ratio of Stock Index Futures:An Empirical Study Based on CSI300 Futures

在分析和比较常用的几种股指期货最优套期保值比率确定模型的基础上,基于风险最小化模型框架,利用沪深300指数期货合约模拟运行以来的样本数据,通过最小二乘回归模型、向量自回归模型、误差修正模型以及广义自回归条件异方差模型四种估计方法,对其最优套期保值比率进行了实证测算和绩效比较,提出了相应的政策建议和投资策略。

This paper reviews and compares several kinds of optimal hedging ratio models in common use. Then based on the minimum variance model, we use the sample data of CSI300 futures to measure the optimal hedging ratio empirically and compare its effectiveness by way of OLS （ Ordinary Least Squares）, VAR（ Vector Auto-Regression） , ECM （ Error Correction Model ） and GARCH （ General Auto Regression Conditional Heteroskedasticity ） methods. Finally, we provide some policy suggestions and investment strategies.