基于日内跳跃识别方法的股指期货动态套期保值研究

Dynamic Hedging of Index Futures Based on Intraday Jump Identification Method

金融指数及股指期货价格的跳跃行为影响其价格的基差,给动态套期保值带来了挑战。因此,进行更为精准的跳跃识别,并将其合理纳入套期保值模型,对于套保绩效的改进有重要意义。鉴于此,首先对基于高频数据的非参数日内跳跃检验方法进行改进,引入赋权标准偏差因子以消除日内效应的影响。然后采用对跳跃更为稳健的已实现离群加权方差估计连续波动,以改进跳跃估计方法。采用沪深300指数及其股指期货五分钟价格的实证表明,以引入跳跃的向量异质自回归模型为套期保值比率预测模型时,采用改进后日内跳跃识别方法比采用常用日跳跃识别方法,可以获得更优的样本内、外套保绩效。而上述两种方法的套保绩效,都明显优于常用二元GARCH类套期保值策略。

Jumps behavior in financial index and index futures affect the basis between them,challenging dynamic hedging strategies.Therefore,better identifying jumps and then appropriately using them in hedging models is important for improving hedging performance.Thus,the nonparametric intraday jump detection method is first improved by introducing the weighted standard deviation factor to eliminate the intraday effect.Then the jump estimation method is improved by using outlier weighted variance instead of bi-power variation as estimator for continuous volatility.Empirical results with the five minute prices of CSI 300 index and index futures indicate that,when the vector heterogeneous autoregressive model with jumps is used for forecasting hedging ratio,our intraday jump identification method can lead to better insample and out-of-sample hedging performance than the common daily jump identification method.Furthermore,both methods have obviously better hedging performance than the common bi-variate GARCH hedging strategies.