基于ECM-BGARCH模型的我国黄金期货合约套期保值比率研究
发布时间：2018-12-11 03:00
【摘要】：在市场经济中,商品生产经营者在生产和经营过程中,遇到最多的最直接的风险就是价格波动风险,而期货的套期保值就提供了这么一个可以规避、转移或者分散价格风险的有力工具,这也正是期货发展起来的原因。期货作为一种套期保值工具,现在已经被各大生产经营商广泛使用,但是准确的估计套期保值比率仍是一个难点问题,同时也是期货理论领域研究的一个热点问题。 黄金做为一种特殊的商品,在国际经济活动中扮演着重要的角色。随着世界经济的持续发展,对黄金的需求量在不断增加。而黄金所特有的商品和金融的双重属性又决定了影响其价格的因素非常复杂。中国作为世界第一大黄金消费国,黄金的价格波动将对我国的黄金产业链造成较大的影响,所以越来越多的黄金冶炼、生产加工以及经营企业意识到进行套期保值的重要性和迫切性。而套期保值中最核心的问题就是如何较好的估算套期保值比率来最大限度的减少基差风险。 LienLuo(1993)、Chosh(1993)与Chou、FanLee(1996)分别提出了估计最优套期保值比率的误差修正模型,并使用两步法进行了估计。误差修正模型(ECM)作为一种具有特定形式的重要的计量经济学模型,在研究非平稳时间序列以及序列间协整关系方面具有较好的效果。Baillie和Myers(1991)年提出了BGARCH模型,并用BGARCH模型对美国的农产品期货进行了最优套期保值比率的估计研究。二元GARCH (BGARCH)模型弥补了一元GARCH模型在研究中不能反映序列之间的协方差的缺陷。本文分别采用OLS模型、ECM模型、以及常数二元GARCH模型和D-BEKK二元GARCH模型给出ECM-BGARCH方法估计的最优套期保值比率,并得到了较好的效果。
[Abstract]:In the market economy, the most direct risk encountered by commodity producers and operators in the process of production and operation is the risk of price fluctuations, and the hedging of futures provides such a way to avoid it. Transfer or spread the price risk of the powerful tool, which is also the reason for the development of futures. Futures, as a hedging tool, have been widely used by major producers, but accurately estimating hedging ratio is still a difficult problem, and it is also a hot issue in the field of futures theory. As a special commodity, gold plays an important role in international economic activities. With the sustained development of the world economy, the demand for gold is increasing. The dual attributes of commodities and finance in gold determine the complexity of the factors that affect its price. As China is the world's largest consumer of gold, the fluctuation of gold prices will have a greater impact on China's gold industry chain, so more and more gold is being smelted. Production and processing as well as operating enterprises are aware of the importance and urgency of hedging. The core problem of hedging is how to estimate the hedge ratio to minimize the risk of base difference. LienLuo (1993), Chosh (1993) and Chou,FanLee (1996) proposed an error correction model to estimate the optimal hedging ratio, and two steps method was used to estimate the model. As an important econometric model with a specific form, error correction model (ECM) has a good effect in the study of non-stationary time series and cointegration relations between series. Baillie and Myers (1991) put forward BGARCH model. The BGARCH model is used to estimate the optimal hedge ratio of American agricultural futures. The binary GARCH (BGARCH) model makes up for the fact that the univariate GARCH model can not reflect the covariance between sequences in the research. In this paper, OLS model, ECM model, constant binary GARCH model and D-BEKK binary GARCH model are used to give the optimal hedge ratio estimated by ECM-BGARCH method, and good results are obtained.
【学位授予单位】：云南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.54;F724.5
本文编号：2371738
[Abstract]:In the market economy, the most direct risk encountered by commodity producers and operators in the process of production and operation is the risk of price fluctuations, and the hedging of futures provides such a way to avoid it. Transfer or spread the price risk of the powerful tool, which is also the reason for the development of futures. Futures, as a hedging tool, have been widely used by major producers, but accurately estimating hedging ratio is still a difficult problem, and it is also a hot issue in the field of futures theory. As a special commodity, gold plays an important role in international economic activities. With the sustained development of the world economy, the demand for gold is increasing. The dual attributes of commodities and finance in gold determine the complexity of the factors that affect its price. As China is the world's largest consumer of gold, the fluctuation of gold prices will have a greater impact on China's gold industry chain, so more and more gold is being smelted. Production and processing as well as operating enterprises are aware of the importance and urgency of hedging. The core problem of hedging is how to estimate the hedge ratio to minimize the risk of base difference. LienLuo (1993), Chosh (1993) and Chou,FanLee (1996) proposed an error correction model to estimate the optimal hedging ratio, and two steps method was used to estimate the model. As an important econometric model with a specific form, error correction model (ECM) has a good effect in the study of non-stationary time series and cointegration relations between series. Baillie and Myers (1991) put forward BGARCH model. The BGARCH model is used to estimate the optimal hedge ratio of American agricultural futures. The binary GARCH (BGARCH) model makes up for the fact that the univariate GARCH model can not reflect the covariance between sequences in the research. In this paper, OLS model, ECM model, constant binary GARCH model and D-BEKK binary GARCH model are used to give the optimal hedge ratio estimated by ECM-BGARCH method, and good results are obtained.
【学位授予单位】：云南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.54;F724.5
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