石油期货对冲比率的模型选择:交互作用与模型风险

Model Selection of Estimating Hedge Ratio of Crude Oil Futures:Interaction and Model Risk

采用结构BEKK模型、传统BEKK模型、OLS模型估计石油期货对冲比率,从交互作用和模型风险的角度分析对冲比率的模型选择问题。基于布伦特原油期货与现货价格日数据的研究显示,结构BEKK模型的石油期货对冲绩效优于传统BEKK模型,预示对冲比率的估计要考虑交互作用;结构BEKK模型的石油期货对冲绩效在次贷危机前优于OLS模型,在次贷危机后劣于OLS模型,预示模型风险影响石油期货对冲绩效。进一步分析表明,石油期货对冲比率的估计模型应当根据市场状况和油价走势选择结构BEKK模型或OLS模型。本文研究为风险管理实践提供了决策依据。

This paper adopts structural BEKK model,BEKK model and OLS model to estimate hedge ratio of crude oil futures,analyzes the hedging effectiveness,and discusses model selection from the views of interaction and model risk.Using daily data of Brent crude oil spot and futures prices,the results show the hedging effectiveness of structural BEKK model is better than that of BEKK model,indicating interaction should be considered in hedge ratio estimation.The hedging effectiveness of structural BEKK model is better than that of OLS model before subprime crisis and is worse than tat of OLS model after subprime crisis.This suggests model risk will affect the hedging effectiveness of crude oil futures.Thus,the estimation of hedge ratio should consider interaction and model risk,and select the suitable model according to market situation and oil price tendency.