Research On Hedging Ratio Of Shanghai And Shenzhen 300 Stock Index Futures

There have been 8 years,Since the introduction of the Shanghai and Shenzhen 300 stock index futures,Domestic and foreign research on how to use stock index futures for hedging has also been deepened.The core issue of using stock index futures for hedging is the calculation of the hedge ratio.In terms of the models that have been discussed and tested,domestic and foreign researchers have provided a lot for the empirical research field.In this paper,four models are selected for comparative analysis,and finally the model with the highest hedging efficiency is obtained.In the empirical research,This paper selects the Shanghai and Shenzhen 300 Index and the Shanghai and Shenzhen 300 stock index futures contracts from 2018 to 2019 in March.Four contacts was selected for the hedge operation.Three static hedging models of Or-dinary Least Square,Vector Auto Regression model and Error Correction Model and dynamic hedging model of DCC-GARCH are constructed respectively.After descriptive statistical analysis,autocorrelation test,stationarity test,cointegration test and ARCH test on sample data,The results was given by R progran.By dividing the data into two parts:the in-sample training set and the out-of-sample verification set,the hedging efficiency of the four models in the verification set is verified.The result proves that the model that gives lowest risk under the Ederington method is DCC-GARCH nodel.The best performing model in the static model is the vector autoregressive model.The hedging effect of the dynamic model is better than the static model.At the same time,from the perspective of the efficiency of different contracts hedging,the hedging effect of the IF01 contract is better,because this contract does not have a large number of speculative transactions,and the price will not be "distorted".Finally,the ro-bustness of the dynamic model is better than that of the static model.In the dynamic model,the DCC is better than the BEKK model.