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考虑到资产收益的跳跃以及联跳行为给套期保值策略带来的挑战,利用沪深300股指期货与沪深300指数及其成分股的5分钟高频数据,识别现货跳跃、期货跳跃、期货-现货联跳以及成分股联跳,并用Hawkes过程估计相应跳跃强度与联跳强度,在基本的向量异质自回归(VecHAR)模型基础上提出引入跳跃强度与联跳强度的VecHAR-RVRCOV-CJ-JICI模型。实证表明,根据新模型构建的动态套期保值策略,相较于根据常用二元GARCH模型以及根据不考虑跳跃强度和联跳强度的VecHAR-RVRCOV-CJ模型构建的动态套期保值策略,具有更优的样本外套期保值绩效。因此引入跳跃强度与联跳强度可以有效改善对沪深300股指期货的动态套保。
Taking into account the jump in asset returns and the challenge of the hedging strategy for hedging strategies, the paper identifies stock jumps, futures jumps and futures using the CSI 300 stock index futures and the CSI 300 Index and its constituent stocks for 5 minutes. - the stock jump and the stock jump jump, and the corresponding jump strength and jump strength are estimated by the Hawkes process. Based on the basic vector heterogeneous autoregressive (VecHAR) model, the VecHAR-RVRCOV-CJ -JICI model. Empirical results show that the dynamic hedging strategy based on the new model has more advantages than the dynamic binary hedging strategy based on the common binary GARCH model and the VecHAR-RVRCOV-CJ model without considering the hopping strength and hopping strength Excellent sample hedging performance. Therefore, the introduction of jump strength and jump strength can effectively improve the CSI 300 stock index futures hedging.