基于BGARCH的石油期货动态套期保值模型研究  

Study of dynamic hedging model of oil futures based on BGARCH

作　　者：许冶[1] 焦建玲[1] 

机构地区：[1]合肥工业大学管理学院,安徽合肥230009

出　　处：《合肥工业大学学报（自然科学版）》2011年第8期1263-1267,共5页Journal of Hefei University of Technology：Natural Science

基　　金：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)

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动带来的风险。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 dynamic hedging model can better hedge the oil price risks.

关 键 词：价格风险 最优套期比 BGARCH模型 套保有效性 

分 类 号：F830.91[经济管理—金融学]