本文選題：股指期貨 + 套期保值比率　； 參考：《西安建筑科技大學(xué)》2013年碩士論文

【摘要】：我國(guó)股指期貨于2010年4月16日正式上市。股指期貨上市之前，對(duì)于股票市場(chǎng)的系統(tǒng)性風(fēng)險(xiǎn)，投資者無(wú)法回避。股指期貨可有效地規(guī)避系統(tǒng)風(fēng)險(xiǎn)，但其效果卻受到套期保值比率的影響。因此，確定最優(yōu)套期保值比率是套期保值理論的核心問(wèn)題。 首先，本文介紹了股指期貨基本理論和套期保值基本理論，總結(jié)了套期保值理論的發(fā)展過(guò)程和股指期貨套期保值的類型。分析了基于風(fēng)險(xiǎn)最小化套期保值策略的套期保值比率的計(jì)算方法，，類比了常用風(fēng)險(xiǎn)最小化套期保值比率的幾類估計(jì)模型及其套期保值比率計(jì)算公式。 其次，本文根據(jù)GARCH模型由一元到多元的發(fā)展過(guò)程，給出了一元GARCH模型參數(shù)的極大似然法，推導(dǎo)了二元BEKK模型在最小方差下的套期保值比率公式。通過(guò)分析滬深300指數(shù)和股指期貨日收盤(pán)價(jià)對(duì)數(shù)收益率序列的主要統(tǒng)計(jì)特征，用QQ圖進(jìn)行驗(yàn)證，發(fā)現(xiàn)對(duì)數(shù)價(jià)格收益率更適合用t分布進(jìn)行擬合�；诖�，對(duì)多元BEKK-GARCH模型和多元對(duì)角BEKK-GARCH模型做了進(jìn)一步改進(jìn)，建立了更符合收益率序列特征的基于t分布多元BEKK-GARCH模型和多元對(duì)角BEKK-GARCH模型，并且推導(dǎo)出投資組合收益風(fēng)險(xiǎn)最小化框架下的套期保值比率計(jì)算公式。 最后，本文估計(jì)了四個(gè)模型的參數(shù)，計(jì)算了最優(yōu)套期保值比率，比較了這四個(gè)模型的套期保值績(jī)效。實(shí)證結(jié)果表明：這四個(gè)模型中，殘差分布服從t分布的多元對(duì)角BEKK-GARCH模型效果最好，多元BEKK-GARCH模型效果最差�？傮w而言，基于t分布的多元BEKK-GARCH模型和多元對(duì)角BEKK-GARCH模型的套期保值績(jī)效要好于正態(tài)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.
【學(xué)位授予單位】：西安建筑科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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