模型的复杂性与期货套期保值效率:基于环境突变样本区间的检验  

Complex Econometric Models and the Effectiveness of Futures Hedging:Based on Empirical Research Over Environment Shift Sample Period

作　　者：付剑茹[1] 张宗成[2] 

机构地区：[1]江西师范大学财政金融学院,江西南昌330022 [2]华中科技大学经济学院,湖北武汉430074

出　　处：《管理工程学报》2014年第4期146-151,179,共7页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71261010);江西省教育厅科技资助项目(GJJ14724)

摘　　要：本文从模型风险的角度,选取环境突变样本区间,对"模型的复杂性和期货套期保值效率"这一问题进行研究。采用随机系数马尔科夫体制转换(RCMRS)模型对期货最优套期保值比进行估计。并将RCMRS模型套期保值效率和OLS、VAR、VECM及GARCH等模型进行比较和分析。样本内比较发现,复杂的动态模型并未带来明显优于静态模型的套期保值表现。样本外比较则显示,动态模型的套期保值效率明显劣于静态模型。当环境突变,模型存在明显的误设时,由于复杂模型较简单模型涉及到更多变量和假定,模型(误设)风险较简单模型更大。再加上复杂模型较简单模型包含更多噪音,估计风险更大,综合来看,复杂模型的总风险明显大于简单模型,这直接导致复杂模型的套期保值效率劣于简单模型。The debate on econometric models for estimating the minimum-variance futures hedge ratios has run for long time.According to the econometric theory,it is generally thought that,when the econometric test is ＂ satisfactory＂,the complicated econometric models should bring the better hedging efficiency than the simple econometric models.But considerable empirical studies find that the hedging performances of the complex econometric models are not sure better than the simple econometric models.Therefore,the relationship between the complexity of the econometric model and the efficiency of futures hedging is worthy of further study.From the perspective of risk of econometric models,this article study the questions about ＂the complexity of econometric models and the efficiency of futures hedging＂ over environment shift sample period.A strand of the literature on futures hedge find the fact that the dynamic relationship between spot and futures returns may be characterized by market regime shifts.So,in this paper,we propose random coefficient Markov regime switching model to estimate optimal hedge ratio of china＇s copper futures market.The hedging performance of RCMRS model is compared against B-GARCH,VECM,VAR and OLS model using the minimum variance approaches over both an ex post and ex ante hedge period.The structure of this paper is as follows.The first part is introduction,the second part is the model specification of random coefficient Markov regime switching model,the next third part is the empirical analysis,including the statistical description of the sample data,the unit root test,the Cointegration test and the optimal hedging ratio estimation of RCMRS,B-GARCH,VECM,VAR and OLS model.The fourth part is the hedging efficiency comparison and analysis.Conclusions are given in the last section.The in-sample test finds that complex dynamic models,such as RCMRS and B-GARCH model,have offered no discernable improvement on the simple static models futures hedge.Compared to the in-sample period,the out-of-sampl

关 键 词：套期保值效率 复杂模型 模型(误设)风险 估计风险 RCMRS模型 

分 类 号：F830[经济管理—金融学]