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基于Copula-TGARCH模型的股指期货最佳套期保值比研究 被引量:16

Optimal Hedge Ratios of Copula-based Model with Stock Index Futures
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摘要 本文基于一种新的Copula-TGARCH模型估计股指期货的最佳套期保值比,根据现货和期货收益率序列不同的尾部相依性,用不同的Copula函数形式(Gumbel,Clayton,Gaussian)拟合两者的相关性,并与其它的动态套期保值模型(ECM-CCC-GARCH和ECM-DVEC-GARCH)比较其套期保值的有效性。通过对香港恒生指数现货和期货的实证分析发现:无论样本期内、外,Copula-TGARCH模型的套期保值效果均优于其它模型,而基于非对称Gumbel Copula的套期保值比最佳。 In this paper, I suggest a new copula-based TGARCH model to estimate the optimal hedge ratio, fit the different copula (Gumbel, Clayton, Gaussian), estimate the parameters of the models by IFM, and compare its effectiveness with that of other hedging models, including ECM-CCC-GARCH and ECM-DVEC-GARCH models. The empirical results shows that in both the in-sample and out-sample tests, the copula-TGARCH hedging model performed better than all of other models, and the hedge ratio based Gumbel copula is the optimal.
出处 《数理统计与管理》 CSSCI 北大核心 2012年第2期354-362,共9页 Journal of Applied Statistics and Management
基金 西安交通大学校内自然科学基金资助
关键词 最佳套期保值比 COPULA函数 股指期货 optimal hedge ratio, copula function, stock index future
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参考文献14

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二级参考文献28

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