摘要
运用中国期铜合约数据,计算分析了普通最小二乘回归模型、误差修正模型和多元Garch模型在计算最优套期保值率方面的效果．通过针对不同的套期保值周期进行事前检验及事后检验,研究发现动态调整套期保值率能有效降低组合风险,当套期保值周期较短时,多元Garch模型计算套期保值率较优．同时,计算结果表明中国市场不能很好实现价格发现功能,套期保值效果有限．
With the database of daily Copper futures contracts on Chinese market, optimal hedge ratios are calculated applying the ordinary least squares （OLS） regression model, the error-correction model （ECM） and the muhivariate Garch model. The hedging effectiveness is measured in terms of ex-post and ex-ante at various hedging horizons. It is proved that the time varying hedge ratios provide more portfolio risk reduction, multivariate Garch model performs better only for shorter hedging horizons. Empirical results show the weakness of the function of price discovery in Chinese market, and the hedge effectiveness limit.
出处
《天津大学学报》
EI
CAS
CSCD
北大核心
2006年第B06期283-287,共5页
Journal of Tianjin University(Science and Technology)
基金
中期协联合研究计划资助项目(ZC200510)
中国博士后科学基金(2005).
