引入跳跃与联跳强度的沪深300股指期货套期保值研究

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• 英文论文题名：Including Jump and Co-jump Intensities to Improve the Dynamic Hedging of CSI 300 Index Futures
• 论文作者：瞿慧 ; 周慧
• 英文论文作者：QU Hui ; ZHOU Hui ; School of Management and Engineering ; Nanjing University
• 年：2016
• 作者机构：南京大学工程管理学院;
• 论文关键词：联跳 ; 套期保值比率 ; 向量异质自回归模型 ; Hawkes过程
• 英文论文关键词：co-jump ; hedging ratio ; vector heterogeneous autoregressive model ; hawkes process
• 会议召开时间：2016-11-12
• 会议录名称：第十八届中国管理科学学术年会论文集
• 英文会议录名称：Proceedings of the 18th Chinese Annual Conference on Management Science
• 语种：中文
• 分类号：F724.5
• 学会代码：ZHYJ
• 会议名称：第十八届中国管理科学学术年会
• 会议地点：中国陕西西安
• 主办单位：中国优选法统筹法与经济数学研究会、西安交通大学、中国科学院科技战略咨询研究院、《中国管理科学》编辑部
• 学会名称：中国优选法统筹法与经济数学研究会
• 页数：7
• 文件大小：474k
• 原文格式：O
• 会议级别：全国

摘要

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。
The jumps and co-jumps of asset returns bring challenges to dynamic hedging strategies.Using the five-minute prices of CSI 300 index,index futures and their constituent stocks,we detect index jumps,futures jumps,index-futures co-jumps and constituent stocks co-jumps,and use the Hawkes process to estimate the jump and co-jump intensities.Then we improve the basic vector heterogeneous autoregressive model to the VecHAR-RVRCOV-CJ-JICI model which takes jump and co-jump intensities as regressors.Empirical results show that,the dynamic hedging strategy based on our proposed model is much better than those based on the popular bi-variate GARCH models and the VecHAR-RVRCOV-CJ model which does not include jump or co-jump intensities,in terms of the out-of-sample hedging performance.Therefore,including jump and co-jump intensities can effectively improve the dynamic hedging of CSI 300 index futures.

引文

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