豆粕期货最优套期保值比率估计及绩效研究

Study on optimal hedging ratio estimation and performance of soybean meal futures

以豆粕期货为研究对象,进行理论和实证研究。在简单介绍了相关的期货套期保值理论后,选取了从2018年6月1日到2019年11月29日由大连商品交易所提供的豆粕期货数据,运用误差修正模型估算最优套期比率,通过收益方差法计算其套期保值的绩效,分析结果并得出结论。

Taking soybean meal futures as the research object,the theoretical and empirical research is carried out.After a brief introduction of the relevant futures hedging theory,the soybean meal futures data provided by Dalian Commodity Exchange from June 1,2018 to November 29,2019 are selected,and the optimal hedging ratio is estimated by error correction model,and the performance of its hedging is calculated by income variance method.The results are analyzed and the conclusion is drawn.