Empirical Study On Optimal Hedging Ratio Of National Debt Futures

Treasury futures with hedging function are effective tools for hedging interest rate risk of fixed income bonds.In recent years,as China's interest rate marketization has basically been completed,the interest rate risk faced by bond investors has also increased.National debt has always been the main product of China's bond trading market.At present,with the increasing awareness of people's investment,the size of the national bond spot market has gradually expanded and its activity has been continuously enhanced.However,the increase in interest rate volatility has increased the price risk faced by treasury investors.In the past,the traditional “buy and hold” bond trading model has become a history.More and more treasury investors are aware of “hedging”.The necessity is that there is an urgent need for a hedging instrument that matches the spot of the national debt to hedge the interest rate risk of the investment.Thus,the government bond futures can be launched.Determining the optimal ratio of futures positions to spot positions in a portfolio is key to achieving hedging performance.In order to estimate the optimal hedging ratio of treasury bonds futures and to test the hedging effect based on the arbitrage ratio,this paper combs the relevant theories of treasury bonds futures and related methods of hedging,and introduces the model for estimating the optimal hedging ratio— —OLS,ECM,Copula-GARCH three models,and introduced the performance evaluation method based on risk minimization.On this basis,combined with the development status of China's national debt spot and futures market,select 5-year Treasury futures,and use the above model to establish 5-year Treasury futures in order of 1-3 years,3-5 years,5-7 years,An empirical study on the hedging ratio of the China Bond National Debt Full Price Index for 7-10 years and more than 10 years.Then,by comparing the performance of each hedge ratio,the best estimated 5-year Treasury futures optimal hedge ratio is selected.model.In addition,off-sample data is used for backtesting to detect the accuracy of model estimates.The research results show that the effect of the hedging risk index of each period of the national debt spot index using different hedging models for hedge risk is small,and the Copula-GARCH model is based on both theoretical and empirical evaluations to estimate the optimal hedge ratio.The model,the OLS model,although flawed,is still classic.In addition,the optimal hedging ratio of the 5-7 years and 7-10 years of the national debt spot index estimated by the Copula-GARCH model has the highest hedging performance,and the OLS model estimates the optimal 1-3 year and 3-5 year government bond futures.Hedging has the best performance and the ability to avoid risks is the strongest.