| 基于t分布的BEEK-MVGARCH的股指期货套期保值率研究 |
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| 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]. 陕西科技大学学报, 2013, 0(2): 155-158 |
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| 作者姓名： | 郑帅 王建国 程晓雪 |
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| 作者单位： | 西安建筑科技大学理学院,陕西西安710055 |
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| 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.
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| 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 |
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| 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 Shaanxi University of Science & Technology(Natural Science Edition), 2013, 0(2): 155-158 |
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| Authors: | ZHENG Shuai WANG Jian-guo CHENG Xiao-xue |
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| Affiliation: | (School of Science,Xiran University of Architecture ＆ Technology, Xi＇an 710051, China) |
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| 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. |
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| Keywords: | minimum variance hedging BEEK-MVGARCH model multivariate t distribution |
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