带交易费用VaR套期保值比的计算

The Calculation of VaR Hedging Ratio with Transaction Costs

用股指期货对金融资产进行套期保值是防范市场系统风险的有效手段之一.本文引入风险价值(VaR)作为套期保值组合的风险度量,给出交易费用下最优VaR套期保值比.并且通过建立双变量GARCH误差修正模型模拟股指期货和被套期保值投资组合收益率的分布情况,估算时变的最优VaR套期保值比.以沪深300股指期货套期保值沪深300指数为例进行了实证分析,分别计算出无交易费用和考虑交易费用下的最优VaR套期保值比,并将VaR套期保值比与MV套期保值比进行了比较分析.

Hedging of stock index futures is an efficient means to prevent the systemic risk of the market. This paper presents the calculation of optimal hedging ratio under the risk of VaR. Next, a bivariate GARCH error correcting model is established to simulate the yield distribution of the stock index futures and the portfolio hedged. Then we propose an estimation of optimal time-varying VaR hedging ratio. Finally, the empirical research is given with the data of Shanghai ＆ Shenzhen 300 stock index and its stock index futures. We calculate optimal VaR hedging ratio with and without transaction costs respectively, the M-V model.