多种期货对一种现货非线性组合套期保值模型

Nonlinear Portfolio Cross Hedging Model of Multi-futures vs A Single-cash

提出了交叉套期保值的基差风险分散原理、风险非线性对冲原理和动态套期保值原理,在最小方差套期保值的基础上,建立了基于多元GARCH的多种期货对一种现货交叉套期保值模型。本模型的特点一是利用多种期货对一种现货进行交叉套期保值,分散了基差风险。二是通过期货与现货组合的协方差矩阵,反映了期货与现货之间的非线性对冲及期货合约之间的非线性叠加,解决了期货与现货价格发生较大变动时交叉套期保值的问题。三是采用动态套期保值策略保证了套期保值比率预测的准确性。在计算期货合约的协方差矩阵的同时考虑了现货对期货的影响,利用多元GARCH族模型对期货—现货收益率协方差矩阵的预测反映了收益率的非线性变化,提高了套期保值比率计算的精度。

This paper put forward principle of basis dispersion, risk nonlinear hedging and dynamic hedging, on the base of minimum variance hedge model, use the MVGARCH（ 1,1 ）-BEKK model to anticipate the variance-covariance matrix of futures and cashes portfolio, build a cross hedging model of multi-futures to single cash on the base of MVGARCH model. The character of the model is firstly that we use multiple futures to hedge single cash to disperse the basis risk. Secondly, the model reflects the nonlinear portfolio between futures and cashes. Through the covariance matrix, it refleets the nonlinear hedging between the futures and cashes and nonlinear superposition between futures to solve the problem of hedging in extreme price changing. Thirdly, we use the dynamic hedging strategy to guarantee the accuracy. In calculation the covariance matrix of futures is under the influence of cashes, and the MVGARCH model reflects the nonlinear changing of price, so the accuracy is improved. The empirical test shows that this paper＇ s model can effectively disperse the basis risk and increase the hedge return.