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本文运用OLS,BGARCH等方法对上海期货交易所铝期货的套期保值比率进行了估计。结果显示,在忽略交易成本的情况下,运用Bollerslev(1990)的对角VECH形式BGARCH模型和ECM-GARCH模型保值效果要明显优于其他方法。
This paper estimates the hedging ratio of Shanghai Futures Exchange for aluminum futures using methods such as OLS and BGARCH. The results show that the value preserving effect of the diagonal VECH form BGARCH model and the ECM-GARCH model using Bollerslev (1990) is obviously superior to other methods when the transaction costs are neglected.