DCC-GARCH、M-Copula-GARCH和Copula-SV在商品期货对冲中的应用研究  

Comparing DCC-GARCH,M-Copula-GARCH and Copula-SV in the Application of Futures Hedging

作　　者：徐杰[1] 王相宁[1] 刘远龙[1] 

机构地区：[1]中国科学技术大学统计与金融系

出　　处：《投资研究》2012年第4期50-64,共15页Review of Investment Studies

摘　　要：中国商品期货市场已经成为全球期货市场不可或缺的重要组成部分。文章比较研究了DCC-GARCH、M-Copula-GARCH和Copula-SV三种模型对我国最重要的期货合约——铜和棉花的对冲比率的影响。结果表明:Copula-SV是最优的对冲模型,文章还发现:二月期的铜期货合约和三月期的棉花期货合约对冲现货的效率最高。Chinese commodity futures markets have become the most important derivative markets worldwide.This paper studies the optimal hedge ratios on two popular contracts in China,copper and cotton,by comparing DCC-GARCH、M-Copula-GARCH and Copula-SV method.Our results suggest that the Copula-SV hedging strategy outperforms the DCC-GARCH method and M-Copula-GARCH method.In addition the optimal hedging horizon for copper and cotton is two months and three months to maturity respectively.

关 键 词：DCC-GARCH模型 M-Copula-GARCH模型 Copula-SV模型 对冲 

分 类 号：F224[经济管理—国民经济] F724.5