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提出了套期保值的期货与现货非线性匹配原理和收益率波动预测原理,在最小方差套期保值模型的基础上,借助Copula模型计算体现非线性相关的相关系数,利用GARCH和EWMA模型对期货和现货的标准差进行预测,提高套期保值的有效性.该模型的特点一是利用Copula函数计算中位数相关系数,实现了期货与现货收益率的非线性匹配,保证了当期货价格和现货价格发生较大波动时的相关系数计算的准确性.二是通过套期保值的收益率波动原理,利用GARCH模型、EWMA模型对期货和现货的标准差进行预测,解决了因套期保值之前和套期保值期间收益率波动发生结构性变化所导致的套期保值效果失真的问题.实证结果表明,该研究模型的有效性高于现有研究计算的套期保值比率.利用该模型进行套期保值可以更有效的规避现货价格风险.
Based on the minimum variance hedging model, the copula model is used to calculate the correlation coefficient which reflects the nonlinearity, and the GARCH and EWMA models are used to forecast the futures And spot standard deviation to improve the effectiveness of hedging.The first characteristic of the model is to use Copula function to calculate the median correlation coefficient to achieve a non-linear matching of the futures and the spot rate of return to ensure that when the futures price and Second, through the hedging rate of return volatility principle, the use of GARCH model, EWMA model to forecast the standard deviation of futures and spot, to solve the problem before hedging And the problem of hedging distortion caused by the structural change of the yield fluctuation during the hedging.The empirical results show that the research model is more efficient than the hedge ratio calculated by the existing research.Using the model Preservation can be more effective in avoiding spot price risk.