基于Cornish-Fisher-VaR方法及t-GARCH模型的生猪期货套期保值研究  

Research on Live Pig Futures Hedging Based on Cornish-Fisher-VaR Method and t-GARCH Model

作　　者：陈国栋 王家琪 CHEN Guodong;WANG Jiaqi(School of Management and Economics,North China University of Water Resources and Electric Power,Zhengzhou 450000,China)

机构地区：[1]华北水利水电大学管理与经济学院,郑州450000

出　　处：《中国证券期货》2024年第4期21-27,共7页Securities & Futures of China

基　　金：河南省哲学社会科学规划项目(2021BJJ064)。

摘　　要：生猪期货作为一种新兴期货合约,其套期保值功能的实际效果以及套期保值比的测算需要深入研究。本文采用最小Cornish-Fisher-VaR方法和t-GARCH模型,对生猪期货的最优套期保值比进行了分析。研究结果显示,生猪期现货市场的价格波动相对较小,套期保值效果有进一步提升的空间;修正t-GARCH-VaR套期保值方法在不同置信水平下提供了灵活的套期保值比,更符合实际套期保值决策,并通过对套保组合绩效的分析,验证了修正t-GARCH-VaR套期保值方法的有效性。最后,针对生猪期货的套期保值,提出了进一步完善的建议。As a new type of futures contract,the practical effectiveness of hedging and the calculation of hedging ratio for hog futures require in-depth research.This study analyzes the optimal hedging ratio of hog futures using the minimum Cornish-Fisher-VaR method and t-GARCH model.The results show that the price fluctuation in the hog futures market is relatively small,leaving room for further improvement in hedging effectiveness.The modified t-GARCH-VaR hedging method provides flexible hedging ratios at different confidence levels,aligning more with practical hedging decisions.The effectiveness of the modified t-GARCH-VaR hedging method is verified through the analysis of hedging portfolio performance.Finally,further recommendations for hedging hog futures are proposed.

关 键 词：生猪期货 套期保值 VaR t-GARCH Cornish-Fisher 

分 类 号：F323.7[经济管理—产业经济] F724.5