中文摘要：

针对即将推出的沪深300指数期货的套期保值策略,分别采用OLS模型、GARCH模型、ECM-GARCH模型计算最优套期保值率,比较套期保值的绩效,并尝试在计算中将基本的GARCH模型扩展,在GARCH模型族中选择最适合刻画沪深300指数波动特征的模型。结果表明,考虑了现货和期货价格序列协整关系的ECM-GARCH模型能够以更小的成本来避险,对投资者来说,不失为一种较好的选择。

英文摘要：

In order to study optimal hedging strategy of CSI300 index futures which will be launched soon, OLS model, GARCH model, ECM-GARCH model are used to measure the optimal hedging ratios, and compare the performances of these models. The basic GARCH model in order to choose the optimum model for CSI300 in GARCH models is tried to dlvelop. Results indicate that ECM-GARCH model which take prices series cointegration relationship into account, shows better hedging performance because of its lower cost. It＇ s a better choice for investor to use ECM-GARCH model to design hedging strategy.