西安财经学院学报
西安財經學院學報
서안재경학원학보
Journal of Xi‘an Institute of Finance & Economics
2011年
1期
28~33
,共null页
股指期货 套期保值策略 股票型开放式基金 双变量GARCH模型
股指期貨 套期保值策略 股票型開放式基金 雙變量GARCH模型
고지기화 투기보치책략 고표형개방식기금 쌍변량GARCH모형
stock index futures; hedging stategy; stock open-ended fund; the bivariate GARCH model
文章以沪深300指数中的IF0912合约为例,将双变量GARCH模型引入股票型开放式基金的风险管理中,实证研究股指期货套期保值策略在股票型开放式基金风险管理中的应用。研究结果表明：最小方差套期保值策略与时变套期保值策略虽然并不能完全消除风险,但相比未套期保值策略来说,采取套期保值策略可以降低股票型开放式基金的VaR（在险价值）,其中基于双变量GARCH模型的时变套期保值策略的保值效果最佳。
文章以滬深300指數中的IF0912閤約為例,將雙變量GARCH模型引入股票型開放式基金的風險管理中,實證研究股指期貨套期保值策略在股票型開放式基金風險管理中的應用。研究結果錶明：最小方差套期保值策略與時變套期保值策略雖然併不能完全消除風險,但相比未套期保值策略來說,採取套期保值策略可以降低股票型開放式基金的VaR（在險價值）,其中基于雙變量GARCH模型的時變套期保值策略的保值效果最佳。
문장이호심300지수중적IF0912합약위례,장쌍변량GARCH모형인입고표형개방식기금적풍험관리중,실증연구고지기화투기보치책략재고표형개방식기금풍험관리중적응용。연구결과표명：최소방차투기보치책략여시변투기보치책략수연병불능완전소제풍험,단상비미투기보치책략래설,채취투기보치책략가이강저고표형개방식기금적VaR（재험개치）,기중기우쌍변량GARCH모형적시변투기보치책략적보치효과최가。
Stock open-ended funds invest their majority capital in the stock portfolio and allow its investors to redeem at anytime.Its performance is influenced easily by the stock market trends.The stock index futures are introduced in China,we must pay attention to the using of IF0912 contracts which can simulate the Shanghai and Shenzhen 300 Index futures to manage the risk in stock open-ended funds.The primary study is the stock index futures hedging strategies.On this basis,we judge the non-hedging strategy,the minimum variance hedging strategy and the time-varying hedging strategy.After comparing the outcomes of these hedging strategies,we get the final conclusion： although the time-varying hedging strategies can not eliminate risk completely,the time-varying hedging strategy can still reduce the stock open-ended funds＇ VAR very well.
