中国燃料油期货市场动态套期保值研究——基于Copula-GARCH模型的实证分析

Investigating the Dynamic Hedging in Fuel oil Futures Market in China——Empirical Evidence from the Copula-GARCH Model

为了更好地规避中国燃料油市场价格风险,利用Copula函数的秩相关系数代替皮尔逊线性相关系数,并用GED-GARCH模型求出燃料油现货和期货收益率的动态标准差,从而建立动态的最小方差套期保值模型,并对2009—2012年中国上海市燃料油期货进行套期保值策略分析。实证结果表明:与传统线性最小方差套期保值模型相比,动态套期保值模型提高了中国燃料油期货市场的套期保值有效性;具体而言,在样本区间内,动态模型的套期保值有效性为44.76%,比传统模型的有效性提高了32.1个百分点。

In order to effectively avoid the fuel oil price risk in China,this paper develops a dynamic hedging model based on the minimum-variance principle; specifically,it uses the Copula function and its rank correlation coefficient to replace the linear correlation coefficient,and the dynamic standard deviations for both fuel oil spot and futures returns are obtained by means of the GED-GARCH models. Then the analyses for the hedging activities are conducted for China's fuel oil market during 2009-2012.The empirical results indicate that,compared with the traditional linear hedging model based on the minimum-variance principle,the dynamic hedging model here can significantly improve the effectiveness of fuel oil futures market; specifically,the hedging effectiveness of the dynamic model reaches 44.76% during the sample period,up 32.1 points compared with that of the traditional linear model.