经济数学2016，Vol.33Issue(4)：69-74,6.
应用 EWMA-GARCH（1,1）-M 模型对沪深300股指期货最小 VaR 套期保值效果研究∗
Study on the Effect of the Minimum VAR of Shanghai-Shenzhen 300 Stock Index Futures Hedge Ratios by Applying EWMA-GRCH(1,1)-M Model
徐荣 1李星野 1马静1
作者信息
- 1. 上海理工大学 数量经济学，上海 200093
- 折叠
摘要
Abstract
Abstract VAR is one of the most popular indexes to measure financial risk in present international market,and its key lies in the volatility ,in other words,the parameterestimation of the variance.This paper used EWMA model to estimate the va-riance,and the GARCH(1,1)-M model with risk premium to calculate the best decay factor to be 0.933 25,replacing the previ-ous 0.940 0,and used the Cornish-Fisher function to correct the quantile of the normal distribution,obtaining the corrected hedge ratios and the VaR.Compared with the traditional hedge ratio model,the VaR reduced much,and it can well predict the future VaR of the portfolio,so it means that the EWMA-GARCH(1,1)-M model is effective.关键词
最小VaR套期保值模型/衰减因子/Cornish-Fisher/EWMA-GARCH(1, 1)-M模型Key words
minimum VaR hedge model/decay factor/Cornish-Fisher/EWMA-GARCH(1,1)-M model分类
管理科学引用本文复制引用
徐荣,李星野,马静..应用 EWMA-GARCH（1,1）-M 模型对沪深300股指期货最小 VaR 套期保值效果研究∗[J].经济数学,2016,33(4):69-74,6.
