基于GARCH模型的农产品期货套期保值绩效评估研究  

Research on Hedging Performance Evaluation of Agricultural Products Futures Based on GARCH Model

作　　者：于刚 赵冬斌 YU Gang;ZHAO Dongbin(School of Finance,Dongbei University of Finance and Economics,Dalian Liaoning 116025,China)

机构地区：[1]东北财经大学金融学院,辽宁大连116025

出　　处：《鞍山师范学院学报》2022年第2期20-28,共9页Journal of Anshan Normal University

基　　金：教育部人文社会科学研究规划基金项目(20YJA790084);辽宁省教育厅2021年度高等学校基本科研项目(LJKR0456);省社科联2020年度辽宁省经济社会发展研究课题(2020LSLKTWZZ-022).

摘　　要：以大豆、豆粕、鸡蛋、玉米为例,使用OLS模型、B-VAR模型、ECM模型、GARCH模型分别计算最优套期保值比率,并使用“风险最小化”方法以及“效用最大化”方法对套期保值绩效进行评估.结果表明,对4种农产品期货,经4种模型计算出最优套期保值比率,得出农产品现货的价格风险有所下降;其中OLS模型的绩效普遍高于其他3种模型.各农产品之间进行比较,能够看出豆粕期货的套期保值绩效最好,能将现货价格风险降低24%左右,而其他3种农产品期货降低风险的百分比均为个位数.最后,为农户以及涉农企业进行套期保值提出投资建议,为提高辽宁农产品期货市场的套期保值绩效以及期货市场的发展提出建议.Taking soybean, soybean meal, egg and corn as examples, this paper uses OLS model, B-VAR model, ECM model and GARCH model to calculate the optimal hedging ratio respectively, and uses the method of risk minimization and utility maximization to evaluate the hedging performance.The results show that, for four kinds of agricultural product futures, the optimal hedging ratio calculated by the four models can reduce the price risk of agricultural products, and the performance of OLS model is generally higher than that of the other three models.Compared with the other three kinds of agricultural products, soybean meal futures have the best hedging performance, which can reduce the spot price risk by about 24%,while the other three kinds of agricultural product futures reduce the risk by single digit.This paper puts forward investment suggestions for farmers and agriculture-related enterprises, and suggestions on how to improve the hedging performance of Liaoning agricultural product future market and the development of future market.

关 键 词：GARCH模型 农产品期货 套期保值模型 套期保值比率 套期保值绩效 

分 类 号：F840.66[经济管理—保险]