| 基于t分布的BEEK-MVGARCH的股指期货套期保值率研究 |
| |
| 引用本文： | 郑帅,王建国,程晓雪.基于t分布的BEEK-MVGARCH的股指期货套期保值率研究[J].西北轻工业学院学报,2013(2):155-158. |
| |
| 作者姓名： | 郑帅 王建国 程晓雪 |
| |
| 作者单位： | 西安建筑科技大学理学院,陕西西安710055 |
| |
| 摘 要： | 在最小方差套期保值理论的基础下,引入t分布对多元BEEK-MVGARCH模型刻画波动率,计算了BEEK-MVGARCH模型的套期保值绩效.其结果显示:t分布的BEEK-MV-GARCH模型的套期保值效果好于正态分布的BEEK-MVGARCH.
|
| 关 键 词： | 最小方差套期保值 BEEK-MVGARCH分布模型 多元t分布 |
Study on the hedging rations of stock index futures based on T distribution of BEEK-MVGARCH model |
| |
| ZHENG Shuai,WANG Jian-guo,CHENG Xiao-xue.Study on the hedging rations of stock index futures based on T distribution of BEEK-MVGARCH model[J].Journal of Northwest University of Light Industry,2013(2):155-158. |
| |
| Authors: | ZHENG Shuai WANG Jian-guo CHENG Xiao-xue |
| |
| Affiliation: | (School of Science,Xiran University of Architecture ＆ Technology, Xi＇an 710051, China) |
| |
| Abstract: | In this paper, in the framework of minimum variance hedging theory, we change the residual that was originally assumed following multivariate normal distribution for that following multivariate t distribution and calculation the hedging performance of the BEEK- MVGARCH. The empirical results show that： the hedging performance of residual following T distribution model is better than corresponding residual error following normal distribu- tion. |
| |
| Keywords: | minimum variance hedging BEEK-MVGARCH model multivariate t distribution |
| 本文献已被 CNKI 维普 等数据库收录！ |
