The Optimal Hedge Ratio of Stock Index Futures :An Empirical Analysis Based on Copula-GARCH Model

摘要：

One of the main functions of the stock index futures is hedging.Hedgers can use futures contracts to reduce or shift the risk of price fluctuation for risk management.Based on the traditional way of calculating the optimal hedge ratio,this paper resorted to copula approach and Kendalls τ rank correlation parameter to calculate the tail-related correlation in order to capture certain nonlinear features of financial time-series such as heavy-tailed distributions and clustering of outliers.We implement this method to do an empirical study with the data of KOSPI200 stock index futures in South Korea and the empirical tests show that the hedge performance has been improved by introducing the nonlinear correlation coefficient.

关键词： stock index futures hedge GARCH model copula Kendalls τ

作者: Jiamin Zhao Yi Shen

作者单位: Financial Department and Financial Research Center,Jinan University,510632,China

会议类型: 国际会议

会议名称: The 2008 International Conference on Business Intelligence and Financial Engineering(BIFE 2008)(商业智能和金融工程国际会议)

会议地点: 长沙

会议语种:英文

页码: 727-735

在线出版日期: 2008-10-28（万方平台首次上网日期，不代表论文的发表时间）