摘要
运用SJC-Copula-GJR模型,计算了持有沪深300股指期货多头和空头两种组合的VaR值和最优投资比例,模型的特点是能够准确地描述尾部相关关系,且其对尾部相关性的描述是非对称的,所得结论为投资者进行风险管理提供了可靠的依据.同时,通过构造加权的非线性相关系数来计算沪深300股指期货最优套期保值比率,解决了分布非正态、期货与现货非线性的问题,准确地度量了股指期货收益率序列的动态相依关系,实证研究表明基于Copula函数的套期保值有效性明显地优于传统模型.
Using the SJC-Copula-GJR model , this article calculate the portfolio VaR and the optimal investment ratio in two case of holding long and short Shanghai-Shenzhen 300 stock index futures. This model can accurately describe the tail correlation and it describes the tail correlation is non-symmetrical. It provides a reliable basis for investors in risk management. Besides, we also construct a weighted nonlinear correlation coefficient to calculate the optimal hedge ratio to solve the problems of the non-normal distribution and non-linear. It can accurately measures dynamic depend＇：~cies of stock index futures. The empirical results show that the hedging effectiveness of the model based on Copula functions is significantly higher than the traditional model.
出处
《数学的实践与认识》
CSCD
北大核心
2012年第20期47-59,共13页
Mathematics in Practice and Theory
基金
辽宁省社会科学规划基金(L11DJY048)
辽宁省教育厅人文社会科学研究项目(W2011109)
