股指期货多阶段套期保值比率分析

Analysis on multi-stage hedge ratio of stock index futures

在股指期货的投资实践中,股价指数序列中一般存在自相关现象,因此利用单阶段模型求解最佳套期保值比率将存在较大的误差,利用多阶段套期保值比率的计算方法是解决问题的较好途径。给出求解多阶段最佳套期保值比率的方法,并分析多阶段套期保值比率与现货收益自相关系数之间的关系。

In investment practice of stock index futures, there is always autocorrelation in stock index series. And therefore, there will be major errors when single-stage model is used to solve optimal hedge ratio, and using multi-stage model for calcu- lation is just the best way to solve the problem. The paper put forward the method to solve optimal hedge ratio using multi- stage model, and analyzed the relationship between multi-stage hedge ratio and autocorrelation coefficient of spot earnings.