Hedging strategy based on risk minimization, from April 1, 2011 to 2012 March 30, the CSI 300 index and stock index futures data, using a simple regression model (OLS), vector autoregressive (VAR)and error correction GARCH model to determine the optimal hedge ratio and hedging performance evaluation on the effectiveness of different models for analysis. Finally, the specific case to calculate the number of futures contracts for hedging needs.
水手特洛伊
