基于马尔可夫状态转换方法的套期保值

Hedging with Markov regime-switching method

中国商品期货市场由于各种因素影响导致期现关系的高、低波动状态发生变化,这对套期保值产生重要影响,将马尔可夫状态转换方法引入到中国商品期货市场最优套期保值研究,分析状态转换下的套期保值.研究表明,期货市场和现货市场的关系表现为相异的高、低波动状态.高波动状态的稳定性、持续时间均低于低波动状态,市场所处的状态与基差变化密切相关.套期保值绩效分析表明,单一状态套期保值中MGARCH模型的效果好于VECM,而VECM又好于VAR,它们均优于OLS模型.时变转换概率和常转换概率马尔可夫模型的套期保值效果优于单一状态下的套期保值.

The relationship between futures and spot prices for the China＇s commodity futures markets displays high and low volatility regimes that often affected by various factors, which greatly impacts the hedging behavior. The Markov regime-switching method was introduced to study the optimal hedging of China＇s commodity futures markets, and to analyze the hedging with regime-switching. The results show that there are different high and low volatility regimes in the relationship between futures and spot prices, the stability and duration of the high volatility regime are lower than the low volatility regime, and the regimes of the markets are closely related to the changes of basis. Moreover, hedging performance analysis shows that in the single regime models the hedging performance of MGARCH is better than the VECM, the VECM is better than the VAR, and the three models are better than the OLS model. And the hedging performance of the constant and time-varying transition probability Markov models is better than that of single regime models.