The Research On The Model Improvement Of Stock Index Future Hedge

Finance is the core of modern economy, while the financial derivatives market especially the futures is the center of the capital market. The commodity future market is the most developed derivative market in China up to now. But the principal parts'consciousnesses of risk aren't very strong or feel hard to find the proper tool to control the risk in the market. In this paper, consider to improve ordinary least squares model to find better hedge strategy , and find out some valuable demonstrating conclusion.To gain the perfect effect of hedging, it is a key to figure out hedge ratio. After studying the developing course of future hedging strategy, focus on the ordinary least-squares regression model, and calculate stock index futures hedging ratio by it; then, through the auto-correlation and heteroscedasticity testing, analyze the OLS model defect in this application; thus, improve the model; finally, the improved model hedging effectiveness will compare with the least-squares model.Through the empirical result analysis, firstly, the improved model has great advantages in the theory. Although the improved model is of the existence of relatively higher operating costs, but larger funds, the cost of their operations can offset through better access to hedging income, so the significance of the operation is still done.