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本文对大商所的所有七个品种进行了套期保值的实证分析。分析方法上,承接了前人理论研究成果,既选取了考虑协整关系和异方差性的ECM-GARCH模型,又考虑了传统上使用的原始套保和OLS套保方法。本文将套保者所关注的价格波动时间区间和套保操作的时间区间进行了区分,提高了套保操作和套保研究的科学性。文章对以上的三种套保方法和七个期货品种的实证结果进行了对比,发现通常ECM-GARCH套保方法优于OLS套保方法优于原始套保。棕榈油、黄大豆2号、豆粕和豆油套保有效度较高,其次是豆一,而玉米、LLDPE套保效果较差。
This paper empirically analyzes the hedging of all seven commodities in the DCE. In the analysis method, we inherited the previous theoretical research results, which not only selected the ECM-GARCH model considering the co-integration relationship and heteroscedasticity, but also considered the traditional hedging and OLS hedging methods. In this paper, the time interval of the price volatility and the hedging operation time interval which the hedger concerns are distinguished, which improves the hedging operation and the hedging research. The article compares the above three hedging methods and the empirical results of seven futures varieties and finds that the ECM-GARCH hedging method is generally superior to the OLS hedging method over the original hedging method. Palm oil, yellow soybean No. 2, soybean meal and soybean oil hedging higher validity, followed by a bean, corn, LLDPE hedging less effective.