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Построение Коэффициентов Хеджирования Для Высоколиквидных Акций Российского Рынка На Основе Моделей Класса Garch

Author

Listed:
  • Асатуров К.Г.
  • Теплова Т.В.

Abstract

В работе предложен оригинальный метод построения стратегии динамического хеджирования инвестиций в акции, основанный на многомерных GARCH-моделях, позволяющий оценить коэффициенты хеджа по фьючерсам на рассматриваемые акции (работоспособность метода продемонстрирована для акций российских компаний). Метод обеспечивает расчет динамических коэффициентов хеджирования вместо фиксированных коэффициентов, получаемых традиционным методом наименьших квадратов. В работе показано, что: 1) именно динамика фьючерсного рынка влияет на поведение цен акций российского рынка; 2) в условной корреляции доходности для всех пар "акция - фьючерс" отсутствует асимметрия; 3) в условной волатильности доходности рассматриваемых рынков имеет место асимметрия; 4) модели класса GARCH позволяют разработать метод расчета коэффициентов хеджирования для построения портфеля с лучшими характеристиками "риск - доходность".

Suggested Citation

  • Асатуров К.Г. & Теплова Т.В., 2014. "Построение Коэффициентов Хеджирования Для Высоколиквидных Акций Российского Рынка На Основе Моделей Класса Garch," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 50(1), pages 37-54, январь.
    • Handle: RePEc:scn:cememm:v:50:y:2014:i:1:p:37-54
    Note: Москва
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    References listed on IDEAS

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