基于GARCH模型对中国股指期货套期保值研究

发布时间：2018-05-26 22:35

本文选题：股指期货 + 套期保值比率　；参考：《西安建筑科技大学》2013年硕士论文

【摘要】：我国股指期货于2010年4月16日正式上市。股指期货上市之前，对于股票市场的系统性风险，投资者无法回避。股指期货可有效地规避系统风险，但其效果却受到套期保值比率的影响。因此，确定最优套期保值比率是套期保值理论的核心问题。首先，本文介绍了股指期货基本理论和套期保值基本理论，总结了套期保值理论的发展过程和股指期货套期保值的类型。分析了基于风险最小化套期保值策略的套期保值比率的计算方法，，类比了常用风险最小化套期保值比率的几类估计模型及其套期保值比率计算公式。其次，本文根据GARCH模型由一元到多元的发展过程，给出了一元GARCH模型参数的极大似然法，推导了二元BEKK模型在最小方差下的套期保值比率公式。通过分析沪深300指数和股指期货日收盘价对数收益率序列的主要统计特征，用QQ图进行验证，发现对数价格收益率更适合用t分布进行拟合。基于此，对多元BEKK-GARCH模型和多元对角BEKK-GARCH模型做了进一步改进，建立了更符合收益率序列特征的基于t分布多元BEKK-GARCH模型和多元对角BEKK-GARCH模型，并且推导出投资组合收益风险最小化框架下的套期保值比率计算公式。最后，本文估计了四个模型的参数，计算了最优套期保值比率，比较了这四个模型的套期保值绩效。实证结果表明：这四个模型中，残差分布服从t分布的多元对角BEKK-GARCH模型效果最好，多元BEKK-GARCH模型效果最差。总体而言，基于t分布的多元BEKK-GARCH模型和多元对角BEKK-GARCH模型的套期保值绩效要好于正态分布下的模型。
[Abstract]:China's stock index futures were officially listed on April 16, 2010. Stock index futures listed before, for the stock market systemic risk, investors can not avoid. Stock index futures can effectively avoid systematic risk, but its effect is influenced by hedge ratio. Therefore, determining the optimal hedging ratio is the core of hedging theory. Firstly, this paper introduces the basic theory of stock index futures and the basic theory of hedging, summarizes the development process of hedging theory and the types of hedging of stock index futures. This paper analyzes the calculation method of hedge ratio based on risk minimization strategy, and compares several kinds of estimation models of risk minimization hedge ratio and its calculation formula. Secondly, according to the development of GARCH model from one variable to multivariate, the maximum likelihood method of the parameters of GARCH model is given, and the hedging ratio formula of binary BEKK model under the minimum variance is derived. By analyzing the main statistical characteristics of the logarithmic yield sequence of Shanghai and Shenzhen 300 index and stock index futures daily closing price, it is found that the logarithmic price return rate is more suitable for fitting with t distribution. Based on this, the multivariate BEKK-GARCH model and the multivariate diagonal BEKK-GARCH model are further improved, and the multivariate BEKK-GARCH model and the multivariate diagonal BEKK-GARCH model based on t distribution are established. Furthermore, the formula of hedge ratio under the framework of portfolio return risk minimization is derived. Finally, the paper estimates the parameters of the four models, calculates the optimal hedging ratio, and compares the hedging performance of the four models. The empirical results show that the multivariate diagonal BEKK-GARCH model with residual distribution from t is the best, and the multivariate BEKK-GARCH model is the worst. In general, the hedging performance of multivariate BEKK-GARCH model and diagonal BEKK-GARCH model based on t distribution is better than that of normal distribution model.
【学位授予单位】：西安建筑科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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