Hedging Tactic of CSI300 Stock Index Futures Based on Non-Symmetric Fluctuation GARCH Model

被引：0
|
作者：
Jin, Jun [1 ]
Jin, Zhaolin [2 ]
机构：
[1] East China Normal Univ, Inst Math & Stat, Shanghai, Peoples R China
[2] East China Normal Univ, Inst Econ, Shanghai, Peoples R China
来源：
PROCEEDINGS OF THE 2017 INTERNATIONAL CONFERENCE ON EDUCATION, ECONOMICS AND MANAGEMENT RESEARCH (ICEEMR 2017) | 2017年 / 95卷
关键词：
Hedging; Stock Index Futures; EGARCH Model; Asymmetric Distribution; Parameter Estimation;
D O I：
暂无
中图分类号：
C [社会科学总论];
学科分类号：
03 ; 0303 ;
摘要：
This study is based on the data and improves the theoretical model of GARCH, applying EGARCH model in the A-stock market. Meanwhile, an analysis on the lack of consideration on the A-share market's nonlinear asymmetry is completed. We make a change on the error of regression equation, which is generally considered as the normal distribution. Through optimization, we can build an asymmetric model based on the empirical data to provide a better hedging model and hedging recommendations.
引用
收藏
页码：88 / 91
页数：4
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