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

DOI

10.2991/iceemr-17.2017.22How to use a DOI?

Keywords

Hedging, Stock Index Futures, EGARCH Model, Asymmetric Distribution, Parameter Estimation

Abstract

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.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Jun Jin
AU  - Zhaolin Jin
PY  - 2017/05
DA  - 2017/05
TI  - Hedging Tactic of CSI300 Stock Index Futures Based on Non-Symmetric Fluctuation GARCH Model
BT  - Proceedings of the 2017 International Conference on Education, Economics and Management Research (ICEEMR 2017)
PB  - Atlantis Press
SP  - 88
EP  - 91
SN  - 2352-5398
UR  - https://doi.org/10.2991/iceemr-17.2017.22
DO  - 10.2991/iceemr-17.2017.22
ID  - Jin2017/05
ER  -