Research On Hedging Strategy Of National Debt

February 13,2012, China Financial Futures Exchange began again bond futures trading. From debuted December 28,1992 Treasury futures, bond futures market to "327 incident", "319 incident" to bond futures was halted, the development of China’s bond futures experienced a tortuous journey.The fundamental purposeis toavoid the risk ofthe emergence futures spotprice volatility, so many functionsamongbond futures, interest rate riskis the mostimportantto avoid thekind offunctionality.Investorscanavoidthe use of bond futuresbonds and otherfinancialassetssubject tointerest rate risk.This article will bebased onlong-term useofhedging,the least squares method, B-Var, ECM, GARCH hedgingand otherfour models with TF0001, TF0002andbonds010 107,010 303bonds, bonds010,213estimate theoptimal hedgeofhedgeratiosandhedgingmerits of the resultsobtained.The fundamental purpose is to avoid the risk of appearing futures spot price volatility, so many features among bond futures, interest rate risk is the most important to avoid the kind of functionality. Investors can avoid the use of bond futures interest rate risk bonds and other financial assets received. This article will use the least squares method, respectively, B-Var, ECM, GARCH and other four models with TF0001, TF0002 and bonds 010 107,010 303 bonds, government bonds to hedge 100,213 estimate the optimal hedge ratio and draw sets The pros and cons of hedging results.In this paper, from September 6,2013 to December 31,2014 closing price of a total of 321 trading days, the first data ADF test and co-integration test, prove TF0001, TF0002 and bonds 010 107,010 303 bonds, revenue bonds 010,213 and TF0001,010107,010303 Treasury, the presence of long-term equilibrium relationship data sequence between stationary TF0002 and Treasury bonds 010,213 income data. After the data were used to test the least squares method, B-Var, ECM, GARCH and other four models with TF0001, TF0002 of bonds 010 107,010 303 bonds, government bonds to hedge 010,213, the best hedge ratio, and then hedging Portfolio hedging risk minimization basis to calculate the optimal hedge ratio hedge efficiency of each model to compare the efficiency of various hedge ratio to obtain long-term hedging based on maturity longer bonds better, worse effect optimal hedge ratio model and least squares method to obtain B-Var model, the optimal hedge ratio and GARCH effect ECM get better, but the overall it is the effect of hedging is not very satisfactory, and the relevant government bond futures market efficiency.