基于EWMA模型的铜期货动态套期保值效果研究

Research on the Effect of Dynamic Hedge Ratio Model Based on EWMA of Copper Futures

利用我国铜期货市场的真实交易数据以及铜现货市场的日结算价为研究对象,以投资组合收益率方差最小化为目标,建立了OLS,ECM,VECM,B-VAR 4种静态套期保值模型,针对金融市场收益率尖峰厚尾和波动率聚集的特征,构建了基于最优衰减因子的时变方差的EWMA模型的动态套期保值方案,并且对静态与动态模型的套期保值效果进行分析比较,不但考虑了所用实证数据的实际特点,而且考虑了套期保值比率预测的准确性和经济性,实证结果表明,该动态模型优于传统的静态套期保值模型.

We developed four static hedging models OLS,ECM, VECM,B-VAR ,which utilized the truthful transaction data of copper futures markets and the settled price in spot market in China, with the goal of the minimum variance of the rate of return at portfolio. In order to solve the problem of sharp peak and heavy tail in the rate of return and fluctuating aggrega- ting, we developed dynamic hedging model with time-varying variance according to the optimal decay factor, and compared the effect between this two static and dynamic hedging model, not only considered the reaI data^s practical features, but also the veracity and economy. It turned out that such a dynamic model was superior to traditional static ones.