基于沪深300股指期货套期保值比率及其绩效的实证研究

Empirical research based on the csi 300 index futures hedging ratio and performance

针对计算沪深300股指期货的最优套期保值比率问题,选取沪深300股指期货与现货数据,构建OLS、ECM、GARCH、ECM-GARCH、EGARCH和二元GARCH等6个模型。在对样本数据进行描述性统计分析、平稳性检验、协整检验和ARCH检验后,使用Eviews8.0构建回归模型,对这一问题加以研究,发现二元GARCH模型的套保效率最高,ECM的套保成本最低,然后以最小方差为选择标准,综合考虑套保成本与绩效,发现基于ECM-GARCH模型计算效果最好,并根据研究结果提出投资者要根据自身风险偏好、市场波动和现货期货的相关性等情况选择合适的模型建议。

For calculating the optimal hedging ratio of csi 300 stock index futures, we select IF index futures and spot da- ta ,build the OLS,ECM,GARCH,ECM - GARCH, EGARCH and bivariate GARCH 6 models. After carry out the de- scriptive statistics analysis, stationary test, cointegration test and the ARCH test on the sample data, we use the Eviews 8.0 to build the regression model to research on the issue, finding that the bivariate GARCH model of hedging efficiency is the highest and the cost of ECM of hedging is the lowest. We then base on the minimum variance selection criteria, consider the hedging cost and performance and find that the performance is best to use the ECM - GARCH model. At last, we propose that the investors should choose the proper model base on their own risk preference, market volatility and the correlation of the spot futures.