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为研究股指期货对冲比率与对冲期限的关系,基于小波分析推导了多尺度最优对冲比率的计算方法,揭示了期货和现货的波动性及相关性的多尺度变化导致了最优对冲比率和对冲效率多尺度变化的本质.通过对国际上具有代表性的股指期货的实证研究表明,股指期货和现货的波动性和相关性存在有规律的多尺度变化特征.其中,在高频尺度上,股指期货和现货的波动率差异较大,相关性较小.而在低频尺度上,波动率差异较小,相关性较大.进一步研究表明,波动性和相关性的多尺度变化导致了最优对冲比率及对冲效率呈相似规律的多尺度变化.
To study the relationship between the hedging ratio of stock index futures and the hedging period, a multi-scale optimal hedging ratio calculation method is derived based on wavelet analysis, revealing that the multi-scale changes of volatility and correlation of futures and spot leads to the optimal hedging ratio and hedging The nature of the multi-scale changes in efficiency.An empirical study of the international representative stock index futures shows that there is a regular multi-scale variation in the volatility and correlation of the stock index futures and the spot.Among them, at the high frequency scale, The volatility of futures and spot are quite different and less relevant, while the volatility of the low frequency range is smaller and the correlation is larger.Further research shows that the multi-scale changes of volatility and correlation lead to the optimal hedging Ratios and hedging efficiencies show a similar pattern of multi-scale changes.