When making a decision on stock index futures hedging, the success of hedging depends on the establishment of an appropriate index futures positions, that is, how to determine the optimal hedge ratio. There are a variety of calculation methods of optimal hedge ratio of stock index futures, mainly including single-factor model, a single factor-rate of stochastic volatility model, error correction model approach, error correction - rate of stochastic volatility model, EWMA index moving average model and so on. This essay analyzes merits between these calculation methods through positive comparative analysis.
展开▼
