Hedge Ratio Of Index Futures Based On Copula Models

An important tool for investors to risk management is hedging, which mainly consider two aspects, one is the risk quantification, and the other is at a given level of risk to be minimized. Financial markets are highly time-varying, and how narrow the asset exposure, how do investors hedging a major starting point, thereby hedging efficiency measure. However, in actual operation, the different emphasis in different directions measure of risk, hedging also has its own inherent nature, so not all of the standard risk measure can adapt hedging. Many hedging model, its applicability is also more widespread, the most outstanding exception Copula function in multivariate joint distribution portray aspects of performance. For complex dynamic correlation between the traditional multivariate statistical models of financial time series often show relatively weak, there Copula function of the right time, this function can not only decompose multivariate joint distribution, and be translated into each variable the cumulative distribution function of the edge Copula with a specific function, but also flexible and precise description of multivariate dependence structure between. So Copula function in the field of financial research more widely.The authors discuss the use of models from shallow and deep index futures hedging rate issue, the author introduces the characteristics of stock index futures,highlighting its hedging function, and then draw theoretical basis for the hedge ratio,analysis of domestic and foreign research present situation, the advantages and disadvantages compared with each other hedging models. thus leads to a dynamic Copula model and use it to estimate the CSI 300 stock index futures hedge ratio, and then compared with the traditional hedging model. Empirical estimation results show that the effect of hedging the best Copula model, which is more price risk aversion function, OLS model is followed, DCC-GARCH model worst; at the same time,Copula model family, T-Copula function hedging best, N-Copula function slightly less.Then the dependence of the characteristics related to dynamic changes for the financial sequence and state, Copula model can achieve better effect of hedging.