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本文运用国际最新发展Garch-Copula模型对沪深300指数期货与现货和SP500指数期货与现货的相关结构进行比较研究,分析期货与现货之间的相关结构,比较运用股指期货对冲风险效果的差异。作者得出结论:无论是中国还是美国,基于尖峰厚尾对称分布假设的模型可以获得好的对冲效果。同时,作者认为在进行对冲之前,应该首先准确地刻画期货与现货的相关结构,进而根据其显示的主要相关特性建立对冲模型,才能够有效降低风险,获得较好的对冲效果。
In this paper, we use Garch-Copula model to compare the futures and spot of the Shanghai and Shenzhen 300 Index Futures with the spot SP500 index, analyze the correlation between futures and spot, and compare the difference of hedging risk effect between stock index futures. The authors conclude that both China and the United States have good hedging effects based on the hypothesis that the symmetrical peak-tail symmetry distribution model. At the same time, the author thinks that before hedging, we should first accurately depict the related structure of futures and spot, and then establish the hedging model according to the main related characteristics displayed, so as to effectively reduce the risk and obtain a better hedging effect.