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

【摘要】：我國股指期貨于2010年4月16日正式上市。股指期貨上市之前，對于股票市場的系統(tǒng)性風險，投資者無法回避。股指期貨可有效地規(guī)避系統(tǒng)風險，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)展過程和股指期貨套期保值的類型。分析了基于風險最小化套期保值策略的套期保值比率的計算方法，，類比了常用風險最小化套期保值比率的幾類估計模型及其套期保值比率計算公式。 其次，本文根據(jù)GARCH模型由一元到多元的發(fā)展過程，給出了一元GARCH模型參數(shù)的極大似然法，推導了二元BEKK模型在最小方差下的套期保值比率公式。通過分析滬深300指數(shù)和股指期貨日收盤價對數(shù)收益率序列的主要統(tǒng)計特征，用QQ圖進行驗證，發(fā)現(xiàn)對數(shù)價格收益率更適合用t分布進行擬合�；诖�，對多元BEKK-GARCH模型和多元對角BEKK-GARCH模型做了進一步改進，建立了更符合收益率序列特征的基于t分布多元BEKK-GARCH模型和多元對角BEKK-GARCH模型，并且推導出投資組合收益風險最小化框架下的套期保值比率計算公式。 最后，本文估計了四個模型的參數(shù)，計算了最優(yōu)套期保值比率，比較了這四個模型的套期保值績效。實證結(jié)果表明：這四個模型中，殘差分布服從t分布的多元對角BEKK-GARCH模型效果最好，多元BEKK-GARCH模型效果最差。總體而言，基于t分布的多元BEKK-GARCH模型和多元對角BEKK-GARCH模型的套期保值績效要好于正態(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.
【學位授予單位】：西安建筑科技大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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