| 我国股指期货的套期保值比率研究 |
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| 引用本文： | 梁斌,陈敏,缪柏其,吴武清.我国股指期货的套期保值比率研究[J].数理统计与管理,2009,28(1). |
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| 作者姓名： | 梁斌 陈敏 缪柏其 吴武清 |
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| 作者单位： | 1. 中国科学技术大学统计与金融系,安徽,合肥,230026
2. 中科院数学与系统科学院,北京,100080 |
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| 基金项目： | 国家重点基础研究发展规划(973计划)，国家自然科学基金 |
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| 摘 要： | 本文主要运用OLS、VAR、ECM、diagonal-BEKK、full-BEKK、scalar-BEKK对沪深300股指期货仿真交易的套期保值比率进行研究,比较了静态套期模型和动态套期保值模型的效果,并研究不同参数化形式对动态套期保值模型的影响。结果表明尽管动态套期保值在样本内要优于静态套期保值模型,但样本外效果却不是很好;另外,动态模型的不同的参数化形式对结果的影响也比较大。
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| 关 键 词： | 套期保值比率 误差修正 BEKK模型 |
The Study of Hedging Ratios of Stock Index Futures in China |
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| LIANG Bin,CHEN Min,MIAO Bai-qi,WU Wu-qing.The Study of Hedging Ratios of Stock Index Futures in China[J].Application of Statistics and Management,2009,28(1). |
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| Authors: | LIANG Bin CHEN Min MIAO Bai-qi WU Wu-qing |
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| Abstract: | We use OLS,VAR,ECM,diagonal-BEKK,full-BEKK,scalar-BEKK to study the hedging ratios of HS300 stock index futures simulation transaction,compare the effectiveness of static models and dynamic models,and also study the effect of different parameterization methods of dynamic hedging models.We find that although dynamic hedging models are superior than static hedging models in sample,the static models are better than dynamic models out of sample,and different parameterization methods affect the effectiveness of dynamic hedging models. |
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| Keywords: | hedging ratios error correction BEKK model |
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