摘要
通过对石油价格的实证分析认为,石油价格波动具有时变性,并且现货价格和期货价格具有协整关系.考虑这两种特征,用带有GARCH误差项的向量误差修正模型求解时变套期保值比率.实证结果表明,该方法套期保值效果好于通常最优固定套期比的方法.
It is important to study how to minimum the oil price change risk by oil future.The change of oil price is considered as time-varying according to empirical tests and spot price and future price is considered of co-integration.On the light of this,the time-varying hedge ratios is generated using a bivariate error correction model with a GARCH error structure.Out-of-sample tests reveal that this model provides greater risk reduction than that of a constant hedge ratio.
出处
《上海理工大学学报》
CAS
北大核心
2004年第4期328-332,共5页
Journal of University of Shanghai For Science and Technology
