基于风险最小化的沪铜期货套期保值绩效研究

Shanghai Copper Futures Hedging Performance Research Based on the Risk Minimization

以沪铜期货的真实交易数据及金属铜现货为研究对象,建立了OLS,VAR,VECM和VECM-GARCH四种套期保值模型。在对样本数据进行描述性统计分析、平稳性检验、协整检验和ARCH检验后,使用MATLAB,EVIEWS软件构建回归模型,对沪铜期货的套期保值比率进行研究,并以最小方差为原则,比较不同模型的有效性,发现静态模型中的OLS模型套期保值有效性最高,而动态模型的套期保值有效性比静态模型要高。

This paper established the OLS, VAR, VECM and VECM -GARCH hedging model, using Shanghai copper futures real transaction data and copper spot as the research object. Descriptive statistics analysis was carried out according to the sample data, stationarity test, cointegration test and the ARCH after inspection, using MATLAB, EVIEWS software to build regression model in order to research Shanghai copper futures hedging ratio, and compared with the effectiveness of different models based on minimum variance principle, we found that the static model of the OLS model hedging effectiveness is the highest, and the dynamic hedging effectiveness of the model is higher than static model.