COMPARATIVE STUDY ON THE MODELS OF OPTIMAL HEDGE RATIO WITH APPLICATIONS TO CHINESE FUEL FUTURES

摘要：

This paper investigates the problem of optimal hedge ratio and hedge efficiency of Chinese fuel futures. For this we use the data of Chinese fuel futures prices and spot prices to examine the performance of various models for hedge ratios, such as traditional regression model, VAR, EC, CC GARCH, and EC-GARCH model. We find that the latter four models provide better hedge efficiency than traditional regression model. VAR slightly improves the hedge performance. EC and CC GARCH models deduce the hedged portfolio risk by 10％. EC-GARCH model brings out the best hedge efficiency of 0.8524. Consequently, hedge strategies constructed from EC-GARCH model can significantly deduce the variance of the hedged portfolio and evade the price risk.

关键词： hedge ratio chinese fuel futures hedge efficiency

作者: Ping Li Guangdong Huang

作者单位: School of Economics and Management, Beihang University, Beijing 100191, China China Geosciences University (Beijing), Beijing 100083, China

会议类型: 国际会议

会议名称: The Tneth International Conference on Industrial Management(第十届工业管理国际会议 ICIM 2010)

会议地点: 北京

会议语种:英文

页码: 524-528

在线出版日期: 2010-09-16（万方平台首次上网日期，不代表论文的发表时间）