河北化纤企业利用PTA期货规避成本价格风险研究

Research on eluding cost risk with PTA future for chemical fiber enterprises in Hebei province

利用PTA(精对苯二甲酸)期货对PET进行了交叉套期保值研究,建立了OLS,VAR,GARCH,VEC等模型,在PTA期货市场对PET进行了交叉商品的套期保值比率分析,并运用最小方差准则进行评估。研究结果表明,在进行交叉套期保值时,通过选择合适的模型,可以使得套保效果非常理想。尤其是VEC法几乎对冲掉了绝大部分的风险波动。

The cross hedging is studied for PET with PTA future , and mathematical models of OLS, VAR, GARCH, VEC are established. The paper analyses the cross hedge rate between PTA future and PX and assesses it using criterion of minimum variance. The result shows that the effect of cross hedge is perfect by selecting the proper model such as the VEC which can avoid the most of fluctuation risk.