Study On Hedging Ratio Of IF300 Index Futures

IF300 stock index futures officially entered the stage of China’s securities market in 2010.As an important financial derivative,the IF300 stock index futures provide a guarantee for stock investors to transfer risks and increase the rate of return in the trading market.The hedging ratio is particularly important when hedging a spot.The so-called hedging ratio refers to the amount of futures positions required to hedge the exposure of a unit’s spot position.Whether the hedging ratio is too high or too low,the best hedging effect is not achieved.Therefore,we can say that the core of the hedging operation is the determination of the optimal hedging ratio.Based on the traditional CVaR model,this paper studies the determination of the optimal hedge ratio.Considering the time-varying variance effect and agglomeration effect of time series in financial market,the DCC-GARCH model is used to estimate the volatility of stock index futures in the research process,and finally form the DCC-GARCH-CVaR dynamic hedging model.Through the analysis of the development of stock index futures,the closing price of the Shanghai and Shenzhen300 Index and the IF300 Futures Index from January 4,2017 to January 10,2019 was selected to highlight the dynamic model hedging effect.The hedging ratios of the static CVaR model and the dynamic CVaR model are measured,and the efficiency of hedging is evaluated based on the variance reduction ratio He and the unit risk reward R/SV.The comparison results show that the hedging effect of the dynamic model is better than the static model.If investors lower their preference for risk,they can avoid certain risks,and high risks and high returns coexist.While avoiding risks,they will also reduce profits.