Analysis Of Stock Index Futures Hedging Performance And Optimizing Countermeasures

Stock index futures is one of the derivative instrument. Taking advantage of the hedging to manage risk is the most important function of it. The proportioning of the business money supply between the forward market and the cash market lies on the expected yield and variance of the investment portfolio made by the hedgers. The best business money supply proportioning should confirm the optimum hedging by minimum the income risk or maximization the utility stock index futures function of the investment portfolio. So, the core of the research on hedging function of stock index futures is how to ensure the optimal ratio of hedging.Aimed at this issue, the essay uses the hedging function of stock index futures in investment portfolio management as the breakthrough point to carry out the research. Based on the detailed data and the scientific logical ways of research technique, choosing various model to confirm and evaluate the standard performance of hedging.The essay adopts the real daily transaction data of Hushen300index and Hushen300stock index futures and establishes8minimum income risk hedging patterns including:OLS、B-VAR、 B-ECM、GARCH and four kinds of BEKK-GARCH as the solid evidence. Before applying the data into the patterns, we have to find the long term relationship between them by managing the first difference of the data. As a result, we find that through the handling of first difference, the data is balanced, so we can avoid the spurious regression.Through the comparison of the performance of the4kinds of BEKK-GARCH patterns, we know that the hedging effect of residual obeys to the t pattern is better than the normal distribution pattern. Then we compared the KPI with OLS、B-VAR、B-ECM、GARCH and t opposite angles BEKK-GARCH patterns, the t opposite angles BEKK-GARCH pattern turns out to be the best one, so it can play an important role in evading the risks. And based on the conclusive analysis, we also offer some prioritization methods to the investors in how to use the stock index futures to hedging under the regular pattern in China’s financial market.