股指期货最优套期保值比率绩效研究

Performance Research on the Optimal Hedge Ratio of the Stock Index Futures

文章基于沪深300股指期货真实数据,选取10支股票作为现货组合,分别用普通最小二乘法模型(OLS)、双变量向量自回归模型(B-VAR)、向量误差修正模型(ECM)及广义自回归条件异方差模型(EC-GARCH)4种模型估计最优套期保值比率,并对不同模型的套期保值绩效进行比较,认为ECM模型套期保值绩效最优.

In this paper, we used truthful date of HS300 stock index future and select 10 stocks as a spot combination. Then we research on the optimal hedge ratio of the stock index futures with OLS, B - VAR, ECM and EC - GARCH models, and compared the performance of these models. It proves that the ECM model is superior to others when we estimate the permance of the hedge ratio.