| 基于BGARCH的石油期货动态套期保值模型研究 |
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| 引用本文： | 许冶,焦建玲.基于BGARCH的石油期货动态套期保值模型研究[J].合肥工业大学学报(自然科学版),2011,34(8):1263-1267. |
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| 作者姓名： | 许冶 焦建玲 |
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| 作者单位： | 合肥工业大学管理学院,安徽合肥,230009 |
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| 基金项目： | 国家自然科学基金资助项目(70971034); 安徽省自然科学基金资助项目(090416243) |
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| 摘 要： | 文章根据石油价格随机波动的特点,通过对WTI的石油现货和期货价格构建动态套期保值模型,利用BGARCH模型估计最优动态套期保值比率,以期减少石油价格波动所带来的风险,并通过多个指标,比较了最优动态套期保值比模型与传统套保模型以及基于VaR的静态套期保值比模型的套保效果.研究结果显示,动态套期保值模型能更好地规避由价格波...
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| 关 键 词： | 价格风险 最优套期比 BGARCH模型 套保有效性 |
Study of dynamic hedging model of oil futures based on BGARCH |
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| XU Ye,JIAO Jian-ling.Study of dynamic hedging model of oil futures based on BGARCH[J].Journal of Hefei University of Technology(Natural Science),2011,34(8):1263-1267. |
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| Authors: | XU Ye JIAO Jian-ling |
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| Institution: | XU Ye,JIAO Jian-ling (School of Management,Hefei University of Technology,Hefei 230009,China) |
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| Abstract: | According to the characteristics of stochastic volatility of oil prices,a dynamic hedging model for the WTI oil spot and futures prices is constructed and the BGARCH model is used to estimate the optimal dynamic hedge ratio,which can reduce risks brought by oil price volatility.Based on multiple indicators of the hedging strategy,the hedging effectiveness of dynamic hedging model is compared with those of the traditional hedging model and VaR-based model with static hedge ratio.The results show that the dyn... |
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| Keywords: | price risk optimal hedge ratio BGARCH model hedging effectiveness |
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