最小平均VaR套期保值比率计算模型及实证研究

Minimum Average VaR Hedge Ratio Model and Empirical Study

针对传统的套期保值模型只考虑最小化套期保值组合在到期日的价格风险,而且没有充分利用资产历史价格样本数据所提供的收益率信息的特点,本文提出了考虑套期保值期内不同期限价格风险的最小平均VaR套期保值比率计算模型。基于我国外汇市场及股票市场数据,本文对最小平均VaR套期保值模型进行了实证分析,并与常用的最小方差及最小VaR套期保值模型进行了对比,得出了最小平均VaR模型在套期保值过程中的效果要优于其他两种模型,能更有效地降低投资者提前终止套期保值可能面临额外风险的结论。

Taking into account that the traditional hedging model only solving the price risk of the due date of the portfolio, without full use of the information which provided by the asset price history, this paper suggests the minimum average VaR hedge ratio model which includes different price risk in the hedge period. Based on the foreign market and stock data, the paper does empirical study with the average VaR hedge ratio model, and does comparative tests with the minimum variance and VaR hedge ratio model. The result suggests that the minimum average VaR model has the best hedging effect of the three models, and can effectively reduces the additional risks on the probability of the early termination in the hedging process.