A copula-multifractal volatility hedging model for CSI 300 index futures

作者：Wei, Yu^*; Wang, Yudong; Huang, Dengshi

来源：Physica A: Statistical Mechanics and Its Applications , 2011, 390(23-24): 4260-4272.

DOI：10.1016/j.physa.2011.06.042

• Econophysics
• Multifractal volatility model
• Dynamic copula functions
• CSI 300 index
• Hedging effectiveness

In this paper, we propose a new hedging model combining the newly introduced multifractal volatility (MFV) model and the dynamic copula functions. Using high-frequency intraday quotes of the spot Shanghai Stock Exchange Composite Index (SSEC), spot China Securities Index 300 (CSI 300), and CSI 300 index futures, we compare the direct and cross hedging effectiveness of the copula-MFV model with several popular copula-GARCH models. The main empirical results show that the proposed copula-MFV model obtains better hedging effectiveness than the copula-GARCH-type models in general. Furthermore, the hedge operating strategy based MFV hedging model involves fewer transaction costs than those based on the GARCH-type models. The finding of this paper indicates that multifractal analysis may offer a new way of quantitative hedging model design using financial futures.

• 出版日期2011-11-1
• 单位西南交通大学; 上海交通大学