基于Copula-ECM-GARCH模型的农产品期货套期保值绩效研究  

Hedge Performance of Agricultural Products Futures Based on Copula-Ecm-Garch Model

作　　者：杨蓦 王静[1] YANG Mo;WANG Jing(College of Economics and Management,Northwest A F University,YangLing 712100,China)

机构地区：[1]西北农林科技大学经济管理学院,陕西杨凌712100

出　　处：《数学的实践与认识》2021年第1期65-78,共14页Mathematics in Practice and Theory

基　　金：国家自然科学基金(71873101)。

摘　　要：Copula函数具有可以准确刻画变量间的相依结构、精准描述金融时间序列"尖峰厚尾"分布特点的良好统计性质.针对传统计量模型在计算套期保值比率时存在的局限性,利用Copula函数描述变量的尾部相关性,并结合ECM-GARCH模型,对大豆、小麦、玉米三种国内农产品期货进行套期保值研究,分别计算最优的套期保值比率及其绩效,并与OLS、B-VAR、ECM和ECM-GARCH模型进行比较.结果表明,对于大豆来说,运用Copula-ECM-GARCH模型计算得到的套期保值比率进行对冲操作,可以最大化降低现货市场的价格风险,为投资者提供了一种可以更好规避价格风险的工具选择.The Copula function has good statistical properties that can accurately describe the dependent structure between variables and accurately describe the distribution characteristics of"spikes and thick tails"in financial time series.Aiming at the limitation of the traditional measurement model in calculating the hedge ratio,the Copula function is used to describe the tail correlation of the variables,and combined with the ECM-GARCH model,hedging research on the three domestic agricultural product futures of soybean,wheat and corn Calculate the optimal hedging ratio and its performance separately,and compare it with OLS,B-VAR,ECM and ECM-GARCH models.The results show that for soybeans,hedging operations calculated using the Copula-ECM-GARCH model for hedging operations can minimize the price risk in the spot market and provide investors with a way to better avoid price risk.

关 键 词：农产品期货 套期保值绩效 COPULA函数 ECM-GARCH模型 

分 类 号：F224[经济管理—国民经济] F323.7F724.5