The optimal hedge ratio of Shanghai and Shenzhen 300 stock index futures on the spot Shanghai and Shenzhen 300 index is calculated by establishing BGARCH model and analysis the effect of hedging in order to exam the effectiveness of setting Shanghai and Shenzhen 300 stock index as the underlying assets of the first stock index futures c.

Optimal Hedge Ratio and the Performance of Hedging: an Empirical Analyzing of Hedging about Copper Futures of SFE in China;

By using an approach close to the real hedging practice, the paper is to study the effects of the length of hedging horizon and futures contract selection on the optimal hedge ratio and hedge effectiveness in the copper and aluminum futures market in China.

One of the main theoretical issues in hedging involves the determination of the optimal hedge ratio.

With the database of daily Copper futures contracts on Chinese market,optimal hedge ratios are cal- culated applying the ordinary least squares(OLS) regression model,the error-correction model(ECM)and the multivariate Garch model.

This paper, with an introduction of basic risk and risk-avoiding theory of hedge ratio, shows the reader a new way to ascertain the best hedge ratio for the minimum risks by applying mathematical knowledge such as probability statistics and analysis of variance to t.