金融工程期末论文：沪深300指数期货简单避险策略的实证检验资料.docVIP

沪深300指数期货简单避险策略的实证检验 摘 要：本文利用沪深300股指期货和沪深300指数现货2014.5.21到2014.11.20共125日的日收盘数据，采用天真套保策略、OLS套保策略、单元GARCH模型套保策略，计算最优套保比率，并将这三种套保策略的套期保值效果进行比较分析。本文选择收益方差最小化作为评价套期保值模型绩效的指标，实证结果表明基于单元GARCH模型计算的套期保值比率的绩效最优。 关键词：股指期货，最优套期保值率，平稳性检验，套保绩效评价 Abstract：This paper calculated hedge ratios based on Naive strategy, OLS method and GARCH model, by using the data of Shanghai-Shenzhen 300 Index futures and index spots. Compared the efficiency of hedging of Naive strategy, OLS method and GARCH method. This paper choose income-variance minimization as the evaluation indexes of the performance of hedging model. T