Proceedings of the 2017 International Conference on Education, Economics and Management Research (ICEEMR 2017)

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

Authors
Jun Jin, Zhaolin Jin
Corresponding Author
Jun Jin
Available Online May 2017.
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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Volume Title
Proceedings of the 2017 International Conference on Education, Economics and Management Research (ICEEMR 2017)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
May 2017
ISBN
978-94-6252-343-2
ISSN
2352-5398
DOI
10.2991/iceemr-17.2017.22How to use a DOI?
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/).

Cite this article

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  -