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在国内早期期货市场上,一直都使用GARCH来估计的最小方差套期保值比率,但由于现货和期货收益的条件方差和协方差的时变性,这种方法也就忽略了最优套期保值比率的时变性。本文在GARCH模型的基础上提出了改进后的BGARCH模型,考虑了时变性的影响,对最小方差套期保值比率进行估计。商品市场的实证研究表明基差对现货和期货风险结构的影响是不对称的,正基差对风险结构的影响大于负基差的影响。
In China’s early futures markets, GARCH has been used to estimate the minimum variance hedging ratio, but this method ignores the optimal hedging ratio due to the conditional variance of the spot and futures returns and the time variability of covariance Time-variant. In this paper, an improved BGARCH model is proposed based on the GARCH model, considering the impact of time-varying, the minimum variance hedging ratio is estimated. Empirical studies on commodity markets show that the effect of basis difference on the risk structure of spot and futures is asymmetric. The effect of positive basis difference on risk structure is greater than that of negative basis.