基于期现共跳的股指期货套期保值研究

A Study of Hedging for Stock Index Futures with Common Jumps between Futures and Spot Markets

本文构建VECM-ARJI-MGARCH模型研究了中国股指期货和现货的长期均衡关系、动态方差、期现共跳特征以及套期保值绩效。结果表明,股指期货和现货表现出显著的共跳性,跳跃强度呈现较高持续性的时变特征。套期保值绩效表明,动态套保比总体优于静态套保比,包含跳跃成分的VECM-ARJI-MGARCH模型的样本外套期保值绩效好于VECM-MGARCH模型,时变跳跃强度模型的样本外套期保值绩效最好。

The paper constructs a VECM-ARJI-MGARCH model to study the co-integration rela- tionship between China＇s stock index futures and spot markets, the time-varying variance-covariance characteristics, the common jumps between futures and spot markets with constant and time-varying jump intensity, and hedging performance. The results show that there exist significant common jumps between stock index futures and spot markets, and jump intensity shows highly persistent features. Moreover, Hedging performance analysis shows that the dynamic hedge ratios generally display better hedging performance than the static dynamic hedge ratios. For the out-of-sample hedging, the VECM- ARJI-MGARCH model with jump component doesbetter compared with the VECM-MGARCH model, and the VECM-ARJI-MGARCH model with time-varying jump intensity does the best.