摘要
对比了BGARCH、MA-BGARCH、EC-BGARCH和BGARCH-X这四种动态套期保值策略的保值效果,实证分析四种套期保值模型下资产收益的条件方差与HE指标,得出BGARCH-X的套期保值效果最佳,EC-BGARCH与MA-BGARCH的套期保值效果次之,BGARCH的套期保值效果最差的结论。
This paper investigates the time-varying hedging effectiveness using BGARCH、MA（1）-BGARCH、EC-BGARCH and BGARCH-X models which determined hedge ratios.By investigating the conditional variance and the HE index of the four models,the results suggest that the GARCH-X model provides the most effective hedge;the EC-BGARCH and MA（1）-BGARCH models are placed in the middle;the BGARCH models performs worst.
出处
《统计与信息论坛》
CSSCI
2010年第12期69-74,共6页
Journal of Statistics and Information
