Research On Hedging Of Stock Index Future With 180ETF Fund

Since the US subprime mortgage crisis and the European debt crisis, China's import and export continued to slump, coupled with the severe overcapacity in the domestic and local government financing platform two illnesses, huge downward pressure on the Chinese economy, investors' confidence greatly frustrated, capital markets turmoil disturbed. In addition, China's stock market system is not perfect, the speculatio natmosphere is more serious, the stock market systemic risk is much higher than in other countries. Over the same period, the Shanghai Composite Index and the CSI 300 Index the biggest drop is 66%. In this context, the urgent need for many investors use stock index future to hedge stock market huge systemic risk, locking costs, expected profit. However, it is a key problem that build an appropriate hedging model and use an appropriate estimation method to accurately estimate the hedging ratio.In this paper, research on hedging of stock index future with 180 ETF fund based on M-Copula-Improved EGARCH-VaR model. Taking into account the characteristics of the non-normal distribution of future and spot returns, derive the Cornish-Fisher method based on the stock index futures market hedging ratio optimal formula. Combining futures and spot prices Cointegration and Volatility strong memory, conditional heteroscedasticity, asymmetry and nonlinear correlation between the sequences and other features, create hybrid Copula-improved EGARCH-VaR dynamic hedge ratio model to study the law of the stock index futures market hedging transactions.First, Combining future and spot prices Cointegration and Volatility strong memory, conditional heteroscedasticity, asymmetry and nonlinear correlation between the sequences and other features, build improved EGARCH model and choose the improved EGRCH(1, 1)-Normal edge reasonable distribution model set by KS. Then, select the Gumbel-Copula function and the Clayton-Copula function to construct mixed copula function and use maximum likelihood estimation method to estimate model parameters of mixed Copula function. then get the estimated future and spot returns complex nonlinear correlation. Subsequently, substituting the conditions of volatility sequence and correlation coefficient sequence to the M-Copula-Improved EGARCH-VaR dynamic optimal hedging ratio with the Cornish-Fisher method, get the optimal hedging ratio and by comparing with the comparison model made a thorough comparative analysis. Finally, combined this paper conclusions, advice two suggestions for selecting hedging strategies to investors and further improving China's stock index futures market hedging function.Innovation of this paper: first,under the hedge combination VaR risk minimization optimization objectives, build a mixed Copula-Improved EGARCH-VaR dynamic hedging model, research perspective innovative. Second, build a mixed Copula model to estimate the optimal hedge ratio, hedge ratio estimation method is innovative. Consider the relationship between association and its integration volatility strong memories, conditional heteroskedasticity, asymmetry and nonlinear characteristics related futures and spot price sequence, establish EGARCH model with error correction term to fit earnings marginal distribution and the conditions rate volatility sequences. With mixed Copula function characterize the nonlinear relationship between yields and the joint distribution. Third, there is a consideration of the distribution of the futures and spot yield "fat tail of the peak," does not meet the Gauss-Markov assumptions, the paper select the Cornish-Fisher method to correcte normal distribution, it can be more accurately estimated hedging ratio.The results show: first, EGARCH(1,1) model with error correction term can best portray Cointegration and reflect the future and spot price yields of strong fluctuations memories, conditional heteroskedasticity. Second, a comprehensive set of security costs, the combination of the average yield and hedging effect of three factors, mixing Copulaamended EGARCH-VaR model can achieve such a goal that at the lowest cost of hedging maximum avoiding the spot market risk, access to the maximum hedging gains. Third, under minimize risk VaR framework, hedging ratios and hedging effects are with the confidence level increasing, hedging gains with the confidence level decreasing. Fourth, the hedging efficiency of China's stock index future market mainly between 0.887 to 0.935, indicates that China's stock index futures market can be circumvented market risk about 90 percent, compared with Europe and USA market's 0.8967 level of risk diversification, Our stock index future market hedging function is good.