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本文通过运用基于OLS的递归估计模型、BGARCH(1,1)模型、ECM-GARCH模型,对中国铜期货市场的最优套期保值比率进行估计,并对以上各种方法的套期保值效果进行了比较分析,发现通过ECM-GARCH估计的套期保值比率相对BGARCH模型的比率整体较小,所得出的组合风险ECM-GARCH的风险最大,BGARCH模型次之,OLS的递归估计最小。总体来看,动态保值效果由于受合约数量的不断调整的制约,而使交易成本增加,保值效果减弱。
In this paper, the optimal hedging ratio of Chinese copper futures market is estimated by using OLS-based recursive estimation model, BGARCH (1,1) model and ECM-GARCH model. The hedging effect of the above methods is evaluated The comparative analysis shows that the ratio of the hedging ratio estimated by ECM-GARCH to the BGARCH model is relatively small, and the risk of the combined risk ECM-GARCH is the largest, followed by the BGARCH model and OLS is the least. In general, due to the constant adjustment of the contract quantity, the effect of dynamic hedge is to increase the transaction cost and reduce the hedging effect.