Research Of Hedging Model For HS300Stock Index Futures Based On VaR

At present the stock market is developing in our country, the system is higherthan other countries, so investors urgently need a kind of financial tool to avoid systemrisk. Stock index futures with hedging function can satisfy just investors to avoid thesystem risk, but the effectiveness of hedging is largely decided by hedging ratio,therefore, the hedging ratio becomes the core of research in stock index futureshedgingMost of the research is in the framework of portfolio theory, and based on theprinciple of variance minimization to structure optimization model, and then useeconometric analysis method to get optimal hedging ratio, this kind of method hadneglected hedgers’ risk preferences. First this paper built the spot and futuresinvestment portfolio and then used the method to measure the VaR risk, and obtainedthe objective function of the VaR minimization. Because financial time series has"peak fat tail" characteristics, it does not meet the normal distribution hypothesis, sothe model introduced in Cornish-Fisher extension mathematical formula, to join thehigh order moment (the kurtosis and partial degree) of the operator, fixed a normaldistribution of the calculation of the digits next points, and improve the precision ofthe model, and at the same time hedgers can choose of the confidence level to reflectthe risk preference.April16,2010HS300stock index futures have already trade for almost twoyears in our capital market transactions. the smooth running of stock index futuresmarket has become increasingly maturity. This paper use VaR minimize hedgingmodel and variance minimize hedging model with HS300stock index futures data toempirical study on the contrast, the results of the study show that, in the hedgingeffectiveness and risk and return unit, this paper established the VaR hedging modeunder non-normal distribution has better performance.