基于Copula-GARCH模型的股指期货与ETF套期保值的实证分析

发布时间：2018-01-06 13:35

本文关键词：基于Copula-GARCH模型的股指期货与ETF套期保值的实证分析　出处：《华中科技大学》2013年硕士论文　论文类型：学位论文

【摘要】：2010年4月16日，随着我国第一个股指期货的推出，即沪深300股指期货的推出，结束了我国A股市场长期以来只能单边做多，，缺乏做空机制的现象。沪深300股指期货的推出，对于投资者尤其是机构投资者对现货市场进行套期保值，以减少现货股票市场的系统性风险起到了关键作用。在实际分析中，如何利用股指期货进行套期保值以及如何确定套期保值率显得非常关键，一个正确的套期保值率可以极大的降低收益率的波动，在保证收益率的同时降低投资的风险，因此，对套期保值策略进行分析是必要和具有现实意义的。本文主要以沪深300股指期货和上证180ETF作为样本，采用最新的数据，利用统计软件对数据进行平稳性以及正态性等相关统计描述，并结合线性模型、非线性模型以及Copula-GARCH模型的理论分析，最终选择更符合数据统计特征的OLS模型和Copula-GARCH模型对数据进行套期保值分析，得出相应的套期保值比率，再将该比率带入模型，求得组合收益率均值和标准差，同时引入套期保值效率判定系数，对各个套期保值模型在套期保值前后的收益率进行分析，对模型的套期保值效果进行客观的评价。分析结果表明，使用Copula-GARCH模型估计出的套期保值率比线性OLS模型更有效，这可能是因为Copula-GARCH模型分析序列的相关性更能符合实际情况，最后，在理论阐述和实证分析的基础之上，对本文的优点和不足之处进行了阐述。
[Abstract]:In April 16, 2010, with the launch of China's first stock index futures, the Shanghai and Shenzhen 300 stock index futures, the end of the A stock market in China for a long time only machine.unilateral-makes-long, the lack of short mechanism. The Shanghai and Shenzhen 300 index futures for investors, especially institutional investors to hedge the spot market, in order to reduce the system the risk of spot stock market has played a key role. In the actual analysis, how to use stock index futures hedging and how to determine the hedging rate is very crucial, a correct hedging rate can greatly reduce the volatility of return, while ensuring the yield to reduce the risk of the investment, therefore, carries on the analysis it is necessary and meaningful to the hedging strategy. In this paper, the Shanghai and Shenzhen 300 stock index futures and Shanghai 180ETF as a sample, using the numbers according to the latest, use Statistical software for stationarity and normality of relevant statistical data description, and combined with the linear model, nonlinear analysis model and Copula-GARCH model theory, the final choice of OLS model and the Copula-GARCH model is more consistent with the data statistical characteristics of hedging analysis of the data, draw the corresponding hedging ratio, then the ratio into the model. The combination yields the mean and standard deviation, while the introduction of the hedging efficiency coefficient of determination, the hedging model in hedging before and after yields were analyzed, which can be used to evaluate the hedging effectiveness of the model. The analysis results show that the Copula-GARCH model is used to estimate the hedge ratio is more effective than the linear OLS model. May be because the correlation Copula-GARCH model to analyze the sequence more accord with the actual situation, finally, analysis in theory and empirical. On the basis of this, the advantages and disadvantages of this article are expounded.

【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】