基于Copula-GARCH模型的趋势权变相关套期保值研究

The Research of Validity on Chinese Stock Index Futures' Contingency-Related Hedging From Different Investment Styles

文章分析了股指期货与其标的物之间相关结构的趋势时变特征,提出"趋势权变相关套期保值"假说。然后,选用5种不同风格投资组合作为标的物,用沪深300指数与其仿真交易期货进行套期保值,以方差改善率指标为有效性评价标准,实证检验该假说的有效性及适用性。研究结果表明,趋势权变相关套期保值可以大幅度提高保值效率。

Based on the effectiveness of the hedging model for evaluation of ＂contingency-related hedging＂ hypothesis,this paper analyzes the varying characteristics of the related structures between stock index futures and the subject matter.Then,the writer chooses the investment portfolio of different styles as the subject matter,hedges by the Shanghai and Shenzhen 300 index and its futures,employs the rate of variance to improve as the standard,and evaluates the effectiveness and applicability of the hypothesis.The results show that the contingency related to hedging can preserve and increase the efficiency of a substantial increase.