基于Copula-ECM-GARCH模型的动态最优套期保值比率估计及比较
发布时间:2018-03-09 10:12
本文选题:套期保值比率 切入点:相依结构 出处:《系统工程》2011年08期 论文类型:期刊论文
【摘要】:结合Copula函数技术和协整理论两方面的优势,给出最优动态套期保值比率模型。为检验该模型的套期保值效果,对标的资产为嘉实沪深300指数证券投资基金进行实证研究,并与传统的ECM-GARCH套期保值模型和修正的ECM-GARCH套期保值模型进行实证分析,结果表明:与ECM-GARCH模型和修正的ECM-GARCH模型相比,本文建立的模型能够在保持套期保值资产收益增加的同时,将其风险分别减少94.59%和93.82%.
[Abstract]:Combined with the advantages of Copula function technology and co-collation theory, the optimal dynamic hedging ratio model is proposed. In order to test the hedging effect of the model, an empirical study is carried out on the underlying assets of the CSI 300 index securities investment fund. And compared with the traditional ECM-GARCH hedging model and the modified ECM-GARCH hedging model, the results show that compared with the ECM-GARCH model and the modified ECM-GARCH model, the proposed model can maintain the increase of the hedge asset income at the same time. The risk was reduced by 94.59% and 93.82, respectively.
【作者单位】: 电子科技大学经济与管理学院;
【分类号】:F224;F830.9
【二级参考文献】
相关期刊论文 前3条
1 李悦;程希骏;;上证指数和恒生指数的copula尾部相关性分析[J];系统工程;2006年05期
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