应用EWMA-GARCH(1,1)-M模型对沪深300股指期货最小VaR套期保值效果研究

VaR是目前国际上应用最广泛的度量金融风险的指标之一,其核心在于波动率,也就是方差的参数估计.采用EWMA模型估计方差,并且结合风险溢价特征的GARCH(1,1)-M模型计算出沪深300股指及其期货的最优衰减因子为0.933 25,摒弃了以往采用0.940 0作为衰减因子的一贯做法,并且运用Cornish-Fisher方程对正态分布的分位数进行了修正,得到修正后的套期保值比率以及资产组合的VaR,与传统的套期保值模型相比,该模型的风险价值VaR降低的程度明显,并且对投资组合未来的VaR具有很好的预测效果,表明EWMA-GARCH(1,1)-M模型对沪深300股指期货的套期保值效果较好.

Study on the Effect of the Minimum VAR of Shanghai-Shenzhen 300 Stock Index Futures Hedge Ratios by Applying EWMA-GRCH(1,1)-M Model

Abstract VAR is one of the most popular indexes to measure financial risk in present international market,and its key lies in the volatility ,in other words,the parameterestimation of the variance.This paper used EWMA model to estimate the va-riance,and the GARCH(1,1)-M model with risk premium to calculate the best decay factor to be 0.933 25,replacing the previ-ous 0.940 0,and used the Cornish-Fisher function to correct the quantile of the normal distribution,obtaining the corrected hedge ratios and the VaR.Compared with the traditional hedge ratio model,the VaR reduced much,and it can well predict the future VaR of the portfolio,so it means that the EWMA-GARCH(1,1)-M model is effective.