股指期货套期保值模型选择和绩效评价——基于沪深300股指期货仿真交易数据的实证分析被引量：12

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摘要本文基于沪深300股指期货仿真交易的数据,选取华安上证180ETF作为现货组合,运用OLS、VAR、VECM、GARCH等不同模型进行套期保值的实证分析。通过"风险最小化原则"和"效用最大化原则"分别比较不同模型的套期保值绩效,发现在样本内GARCH模型降低风险的效果最明显,OLS模型则可使得投资者的效用函数最大化;而对样本外数据,两原则一致认为VECM模型套期保值绩效最优。并给出投资者选择股指期货套期保值模型的具体建议。

作者吴博

机构地区交通银行博士后科研工作站中国社科院博士后工作站

出处《新金融》北大核心 2010年第2期29-33,共5页 New Finance

关键词沪深300 股指期货套期保值率绩效评价

分类号 F830.91 [经济管理—金融学]

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