全时段最优套期保值模型及实证研究

Models to Hedge Whole Period Risks and Empirical Analysis

针对传统套期保值模型只考虑套期保值资产在套期保值期末的风险及未能充分利用样本数据所提供的信息的问题,本文提出了一类同时考虑套期保值期内不同期限风险的全时段最优套期保值比率计算模型.全时段套期保值模型通过最小化套期保值资产在套期保值期内不同期限的风险将投资者面临的风险在整个套期保值期内稳定保持在一个较低的水平,并更充分的利用了资产历史价格样本数据所提供的信息.本文基于沪深300指数及其仿真股指期货的历史价格数据,对传统形式的三种套期保值模型与本文提出的三种全时段套期保值模型的套期保值效果进行了实证分析和比较,并使用GARCH模型比较分析了这些模型套期保值的动态效果,结果表明三种全时段模型的套期保值效果都要优于相应的传统模型,能有效地缓解提前终止套期保值时投资者所面临的风险.

The traditional hedging models only consider the asset risk at the end of hedging period and the information supplied by the sample of assets prices are not fully taken into account.A kind of hedging models,called whole period hedging models,are proposed to fully take the information of assets prices into account and to consider the risks of hedging assets at the whole hedging period.The whole period hedging models control the risks in a stable level during the whole hedging period by minimizing the asset risks of different time periods within the hedging period.Empirical analyses and comparisons are made based on Hu-Shen 300 index and it＇s simulated stock index future.GARCH curves are presented to show the dynamic effects of these hedging models.Empirical and comparison results show that the effects of the whole period hedging models are better than those of the traditional hedging models,and that the whole period hedging models can reduce the risks when the hedging is terminated ahead of the hedging period.