| 基于Copula-TGARCH模型的股指期货最佳套期保值比研究 |
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| 引用本文： | 史美景,赵永淦.基于Copula-TGARCH模型的股指期货最佳套期保值比研究[J].数理统计与管理,2012,31(2):352-353. |
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| 作者姓名： | 史美景 赵永淦 |
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| 作者单位： | 1. 西安交通大学经济金融学院,陕西西安,710061
2. 达尔豪斯大学管理学院,哈利法克斯B3H4R2 |
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| 基金项目： | 西安交通大学校内自然科学基金资助 |
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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。
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| 关 键 词： | 最佳套期保值比 Copula函数 股指期货 |
Optimal Hedge Ratios of Copula-based Model with Stock Index Futures |
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| SHI Mei-jing,ZHAO Yong-gan.Optimal Hedge Ratios of Copula-based Model with Stock Index Futures[J].Application of Statistics and Management,2012,31(2):352-353. |
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| Authors: | SHI Mei-jing ZHAO Yong-gan |
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| Institution: | 1.School of Finance and Economics of Xi’an Jiaotong University,Shanxi Xi’an 710061,China; 2.Faculty of Management of Dalhousie University,Halifax Nova Scotia B3H 4R2,Canada) |
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| Abstract: | In this paper,Ⅰsuggest 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. |
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| Keywords: | optimal hedge ratio copula function stock index future |
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