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本文基于一种新的Copula-TGARCH模型估计股指期货的最佳套期保值比,根据现货和期货收益率序列不同的尾部相依性,用不同的Copula函数形式(Gumbel,Clayton,Gaussian)拟合两者的相关性,并与其它的动态套期保值模型(ECM-CCC-GARCH和ECM-DVEC-GARCH)比较其套期保值的有效性。通过对香港恒生指数现货和期货的实证分析发现:无论样本期内、外,Copula-TGARCH模型的套期保值效果均优于其它模型,而基于非对称Gumbel Copula的套期保值比最佳。
In this paper, a new Copula-TGARCH model is used to estimate the optimal hedging ratio of stock index futures. According to different tail dependences of stock and futures yield series, two Copula functions (Gumbel, Clayton, Gaussian) And compare the effectiveness of hedging with other dynamic hedging models (ECM-CCC-GARCH and ECM-DVEC-GARCH). Through the empirical analysis of Hong Kong’s Hang Seng Index spot and futures, we find that the Copula-TGARCH model has better hedging effect than the other models in the sample period, while the hedging ratio based on the asymmetric Gumbel Copula is the best.