基于Copula函数的PTA期货套期保值研究

Based on Copula in PTA Futures Hedge Research

在最小方差套期保值模型的基础上,借助Copula函数计算非线性相关系数代替传统的线性相关系数,对PTA(即精对苯二甲酸)期货套期保值比率进行研究,通过实证分析比较了该模型与天真模型、传统最小方差模型、OLS模型、VAR模型及GARCH模型的套期保值效果。结果表明,该模型的套期保值有效性可达0.80583,明显高于其他模型,利用该模型进行套期保值可以更有效的规避现货价格风险。

Based on the minimum variance hedging model, using Copula function calculates non-linear correlation coefficient instead of traditional linear ones,studys the optim, hedge ratio of PTA （purified terephthalic acid） futures. Compares the effectiveness of the model with that of other models, such as the naive model, the traditional minimum variance model, OLS model, VAR model and GARCH model by the empirical analysis. The results show that the model＇s effectiveness, being up to 0.80583, is significantly higher than others, hedging by this model can avoid the risk of stock prices more effectively.