Research On The Hedging Ratio Of CSI300Index Futures Based On Copula-GARCH

In the market economy, price fluctuation in the stock market is often difficult to grasp, which may bring disastrous consequences. Therefore, how to avoid stock price risk has been a research topic in the field of finance. Stock index futures exchange has obtained the rapid development in many countries of the world, is one of the more successful financial derivatives in the financial markets. CSI300Index futures, China’s first financial futures variety has been launched April16,2010. One of the basic functions of the stock index futures is hedging. Hedgers can use a futures contract to manage risk, reduce or transfer the adverse price fluctuation risk. Stock index futures reflected in the aspects of the hedging is calculating the optimal hedge ratio.This article first details the characteristics of the CSI300Index and the CSI300index futures, and hedging theory. Then introduce the traditional hedging model of OLS, GARCH, VAR and VEC. On this basis, consider the peak thick tail characteristic of financial time series. By using the Copula function to calculate the coefficient of tail dependence instead of the traditional linear correlation coefficient, and using GARCH model to anticipate the standard deciation of futures’and sport’reture rate. So the hedge efficiency will be enbanced. Though simulate the actual transactions of the CSI300Index and the CSI300index futures, empirical test show that the efficiency of Copula-GARCH model is higer than present ones. Using this model to hedge can effectively averse the spot risk. Provide reference for the investors who are in risk management.