基于ECM-DCC模型的期货动态CVaR套期保值模型及其实证分析

Empirical Analysis on the Model of Futures Dynamic CVaR Hedging Based on the ECM-DCC Model

期货套期保值是企业以及投资者管理和防范现货价格波动风险的基本工具,其核心问题是套期比的估算。本文以综合考虑收益和风险、并反映套保者风险态度的CVaR为优化目标,通过利用考虑期货和现货之间的协整关系、联合收益的短期动态变化性、两者波动率以及相关程度的结构动态性等特征的ECM-DCC模型对期货和现货收益的联合动态变化过程加以描述,建立期货动态CVaR最优套期保值比率模型。该比率具有明确的动态解析公式,其很好地解决了现有CVaR套期比的静态问题以及数值解的复杂性问题。与基于样本矩的静态模型和ECM-CCC模型的样本内外实证对比研究表明本文所提模型的套期保值效果优于其他两种模型,尤其在现货和期货价格波动剧烈、相关性较低时期,本文方法只需相对较少的期货便可达到更优的套期保值效果。

Futures hedging is a basic tool to avoid the fluctuation of spot＇ s price. Its kernel problem is to calculate hedging ratio. Taking CVaR which simultaneously considers retune, risk and the attitude for risk as the optimized object, the paper builds a futures dynamic CVaR hedging ratio model by using ECM-CCC model which considers the cointegration relation, the dynamic correlation between and volatilities of the spot and future to describe the jointly dynamic moving process of reture rates of the future and spot. The ratio has an analytical solution and so solves the static problem of present CVaR hedging ratio and complex of present numerical solution well. The empirical analysis shows that, compared with static model based on sample moments and ECM-CCC model, the model has a higher hedging effectiveness, especially on the period of futures and spot＇ s prices fluctuating intensively and small correlation, and only needs relatively less futures to achieve better hedging effect.