介绍了近年来国内外学者对引入电力期货套期保值的研究和不同观点。基于BEEK GARCH模型,以发电企业为例构建了风险最小化目标下的动态套期保值模型。对欧洲能源交易所近年数据的实证研究表明,电力期货动态套期保值可以有效控制电价风险,但由于电力市场的价格发现功能不足,其有效性是有限的。 Introduced the domestic and foreign scholars in recent years the introduction of electricity futures hedging research and different viewpoints. Based on the BEEK GARCH model, a dynamic hedging model under the risk minimization goal is constructed with power generation enterprises as an example. The empirical research on the data of the European Energy Exchange in recent years shows that the dynamic hedging of the electricity futures can effectively control the electricity price risk, but its effectiveness is limited due to the insufficient price discovery function of the electricity market.