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本文以沪深300股票指数为研究对象,选取2015年10月19日-2016年5月27日沪深300股指期现货的日收盘价数据,使用OLS、B-VAR、GARCH模型进行套期保值比率的实证分析,并对三模型估计的结果进行对比,结果发现B-VAR模型得出的套期保值比率是最优的。
In this paper, the CSI 300 Stock Index is taken as the research object. The daily closing price of CSI 300 stock index futures from October 19, 2015 to May 27, 2016 is selected, and the OLS, B-VAR and GARCH models are used for hedging Ratio of the empirical analysis, and the results of the three model comparison were compared and found that B-VAR model derived hedging ratio is optimal.