基于时变相关Copula的最小方差套期保值研究

在传统的最小方差套期保值的基础上,引入时变相关的正态Copula函数,借助Copula函数计算中位数相关系数,代替传统的Pearson相关系数,以提高套期保值效果.时变相关Copula函数的引入,可描述现货价格收益率和期货价格收益率相关结构动态变化的特征,从而解决套期保值效果结构性失真的问题;使用Copula模型计算中位数相关系数,弥补现有方法不能度量非线性关系的不足,解决当现货价格收益率或者期货价格收益率发生较大波动时套期保值比率确定的问题.实证结果表明:本研究提出的模型有效性高于传统的套期保值模型,利用本模型可以更好地规避现货市场的市场风险.

Minimum Variance Hedging Based on Time-Varying Copula

Based on the minimum variance hedge ratio, the time-varying normal Copula function is brought forward to calculate the median correlation coefficient to instead the Pearson correlation coefficient for improvement of the hedging efficiency. The time-varying normal Copula introduced can capture the dynamic change of dependence structure between futures market return and spot market return to solve the problem of hedging distortion. The median correlation coefficient can measure the nonlinear relationship to guarantee the accuracy of hedge ratio in extreme condition. The empirical test shows that the effectiveness of proposed model is higher than present ones. The proposed model can hedge the spot market risk more effectively.