中国铜期货市场最优套期保值比率估计——基于马尔科夫区制转移GARCH模型

The Estimation of Optimal Hedging Ratioof Copper Future Market of China——Based on Markov Regime-Switching GARCH Model

在套期保值的研究中,GARCH模型被普遍使用。但是近来许多实证研究证明了GARCH模型存在一定的缺陷,即波动率的高持续性,这影响了对于资产价格序列描述的准确性,在套期保值策略的制定时就需要考虑到波动率对状态的依赖性。因此,本文将区制转移应用到套期保值模型构建中,将MRS模型与GARCH模型相结合,建立了MRS-DCC模型,以期消除GARCH模型带来的波动率的高持续性,并用于估算铜期货市场的套期保值比率。同时,本文创新性地运用极差收益率作为标的收益率来估计套期保值比率,不仅提高了模型对资产价格日内波动的捕捉效果,而且日内价格波动的准确预测使得套期保值者规避了期货市场价格突然变化带来的强行平仓风险。本文在理论上详细解释了MRS模型与DCC-GARCH模型结合的方法,并使用中国铜期货2007年10月15日至2010年10月15日的数据进行实证分析对比,从样本内和样本外两个方面证明了马尔科夫区制转移模型以及极差收益率的引入能够提高套期保值比率估算的准确性,从而提高套期保值绩效。本文为状态依赖套期保值策略制定,以及资产价格波动风险的度量提供了参考。

GARCH model is being widely used in the research of hedging. However, in some recent empirical analysis, the application in estimation of hedging ratio of this model has been proved to be defective. The high persistence of conditional variance in GARCH model affect the accuracy of the description of asset price series. The Markov Regime Switching is applied into the construction of hedging model in this paper. The MRS-DCC model which combines MRS model with DCC-GARCH model is established. Using this new model, the hedging ratio of copper futures market is estimated. Meantime, the range yields in stead of intraday yields is used as the mark yields to estimate the hedging ratio innovatively. Range yields can reflect the variance of target asset price accurately and help the investor hold the risk of changing of margin position. The using of range yields conform to the real demand of hedging strategy. The method of combination of MRS model and DCC-GARCH model is explained theoretically. With the empirical analysis of copper futures market,from October 15, 2007 to October 15, 2010, in both in-sample and out-sample method, it is proved that the introduction of the Markov regime-switching and range yields improves the accuracy of the estimation of hedging ratio and the hedging performance. The reference for state dependent hedging strategy and measurement of volatility risk of asset price are prouided.