摘要
考虑了现货价格上下波动的情况,用阿基米德Copula函数的上尾及下尾相关数的平均数作为相关系数,采用GARCH-M模型预测铝现货与期货收益率的标准差,结合最小方差套期保值比率来计算最优套期保值比率,最后对比分析Copula-GARCH模型与Copula模型的套期保值效果.实证结果表明:Copula-GARCH模型的套期保值效果相对较好.
Considering the fluctuations of the spot price, this article quoted upper and lower tail correlation coefficient of Archimedean Copula as correlation coefficient, used GARCH-M model to predict the standard deviation of aluminum spot and futures, combined with the minimum variance hedge ratio to calculate the best hedging ratio, and finally compared the ef- fect of hedging Copula-GARCH model and Copula model. The empirical results showed that the hedging effect of Copu- la-GARCH model is relatively better.
出处
《海南师范大学学报（自然科学版）》
CAS
2015年第2期141-144,共4页
Journal of Hainan Normal University（Natural Science）
基金
教育部人文社会科学研究项目(11YJA790162)
安徽财经大学教研项目(acjyzd201429)
