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本文在现代套期保值理论基础上,参考最小化在险价值(VaR)静态套保模型,提出了基于VaR的最优动态套保模型——VaR-VEC-MGARCH(1,1)模型;该模型考虑了期货与现货之间的协整关系及标的资产收益率呈尖峰厚尾、波动聚类的特征,从而更为全面、精确地估计了最优动态套保比率。在套保效果的评价方面,引入夏普比率作为套保绩效的评价指标;通过对沪铜期货市场数据的实证研究,表明该模型所提供的套保绩效远优于以最小方差(MV)为目标的OLS、ECM、MGARCH模型的套保绩效,这为套保者提供了一种新的更为有效的风险管理方法。
On the basis of modern hedging theory, this paper proposes VaR-VEC-MGARCH (1,1) model, which is based on the VaR and the VaR-based static hedging model. The model takes into account the cointegration relationship between futures and spot and the yield rate of the underlying assets with the characteristics of peak-tailing and fluctuating clustering, so as to estimate the optimal dynamic hedging ratio more comprehensively and accurately. In the evaluation of hedging effect, Sharpe ratio is introduced as the evaluation index of hedging performance. Empirical research on the Shanghai copper futures market data shows that the model provides better hedging performance than MV (Minimum Variance) OHS, ECM and MGARCH models, which provide a new and more effective risk management method for hedgers.