An empirical analysis of hedge ratios was performed based on real data of the indices and index futures of HUSHEN300 and S&-P500 (with ETF portfolio as HS300 index) using different types of models such as OLS, VECM, Copula-VaR, and the modified ECM-GARCH. After using different models to compare the hedging efficiency of the two stock indices under the principle of minimization risk, it was found that the efficiency of HS300 is superior to S&-P500 according to the four methods listed above. Meanwhile, the result of dynamic ECM-GARCH is always the best both inside or outside the samples for both markets. Finally, specific recommandations were given to investors about choosing models of stock index future hedge.%基于沪深300和S&P500的股指期货真实交易的数据,通过构建ETF组合作为沪深300的现货,选取S&P500的指数作为S&P500的现货,运用OLS,VECM,copula-VaR,修正的ECM-GARCH这4个模型进行套期保值的实证分析.通过“风险最小化”原则比较不同模型对于这2个股指的套期保值效率,发现以上4种方法对于沪深300的套期保值效率要优于S&P500；同时,对于2个股指,样本内和样本外都是动态的ECM-GARCH效果最优.最后给出投资者选择股指期货套期保值模型的具体建议.
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