论文部分内容阅读
本文基于非对称效应误差修正DCC-MGARCH模型研究沪深300股指期货和股票指数的动态套期保值率和套期保值绩效,并引入了风险价值(VaR)改善比率对套期保值效果进行度量,通过与传统静态套期保值模型和基于VECH、BEKK、CCC的MGARCH模型的套期保值效果进行比较,得出以下结论,基于MGARCH模型的动态套期保值效果优于静态套期保值效果;引入非对称效应的MGARCH模型套期保值效果优于未引入非对称效应的MGARCH模型的套期保值效果;套期保值绩效方面,DCC模型优于CCC模型,CCC模型优于BEKK模型,BEKK模型优于VECH模型。
This paper studies the dynamic hedging ratio and hedging performance of CSI300 stock index futures and stock index based on DCC-MGARCH model with asymmetric error correction, and introduces VaR improvement ratio to measure the hedging effect, By comparing with the traditional hedging model and the hedging effect based on the MGARCH model of VECH, BEKK and CCC, the conclusion is drawn that the dynamic hedging based on the MGARCH model is better than the static hedging effect; The hedging effect of MGARCH model with symmetrical effect is superior to that of MGARCH model without introducing asymmetric effect. DCC model is better than CCC model in hedging performance, BEKK model is better than CCK model, BEKK model is better than VECH model.