Based On The GARCH-EVT-Copulas Connect Model Research On The Volatility Of Stock Index Hedging Transactions

Because of the economic structure transformation,financial market fluctuation is increasingly intense.High return means high risk.Portfolio investment can avoid unsystematic risk,while stock index futures can avoid systematic risk.Hedging transactions control the risk of the stock market at the greatest extent.Now the market gradually steps into hedging transactions era,however,only a few firms hedge in the futures market,and most firms prefer speculating,which can result in limiting the development of the futures market.Moreover,with the support of trading system data inadequate and domestic quant funds unable to conduct instant carry trade,there are more risks in pure hedging.And market structure is relatively unstable,the affects of fluctuation on stock market and futures market also bring some risks.Therefore,establishing effective financial model is particularly important for the study on hedging fluctuation.This article studies the group of stock index and futures index of hedging.It uses statistical test analysis on yield sequence and applies GARCH-EVT-Copula model to study the fluctuation of hedging.This article introduces the definition of the model clearly,and in accordance with characteristics of the model,it pays more attention to practical application of the model and gives some improvement.It sets up quantitative model on fluctuation,combines ARCH model which can effectively explain single asset distribution with EVT theory which pays attention to extreme risk to build marginal distribution of stock index and futures index.To be specific,it uses GARCH model to get standardized residual error sequence at first,then utilizes EVT theory to match the upper tail and under tail of standardized residual error sequence and t-distribution to match the middle section,and then build simultaneous distribution after connect dual function and marginal distribution.Finally,it generates simulated yield sequence by parameters of t-copula,and estimates VaR values of hedging.By back testing,it analyzes the effectiveness of the model.Through the analysis of the data and the statistical test,this article uses modified GARCH+EVT+tCopula model to estimate the value of the hedging risks,estimating the VaR value in the case of a significant level of 0.1 and 0.05.With back-test and related model test,it concludes that GARCH+EVT+tCopula model can effectively estimate the risks of hedging.In addition,this article also choose other three kinds of relevant models to estimate VaR value under same significant level,comparing with fitting effect of modified GARCH+EVT+tCopula model.The result shows that EVT after fitting the tail control extreme risk better,and fitting effect of GARCH+EVT+tCopula model is more close to reality,which provides a more effective model for hedging analysis.