【摘要】：針對我國豆類期貨市場的的套期保值的績效,選取了豆粕、大豆和豆油三種商品期貨作為研究對象,利用OLS、ECM和ECM-BGARCH模型分別估計豆粕、大豆和豆油的最優(yōu)套期保值比例,通過構(gòu)建套期保值績效指標(biāo)來評價套期保值效果.實證表明,利用豆油期貨來套期保值能達(dá)到最好的效果,但豆粕較差;比較3種方法所估計出的最優(yōu)套期保值比例的套保效果,發(fā)現(xiàn)ECMBGARCH模型用于估計套期保值比例最為合適.
[Abstract]:In view of the hedge performance of soybean futures market in China, three kinds of commodity futures, soybean meal, soybean and soybean oil, were selected as the research objects. OLS,ECM and ECM-BGARCH models were used to estimate the optimal hedge ratio of soybean meal, soybean and soybean oil, and the hedge effect was evaluated by constructing the performance index of hedge. The empirical results show that using soybean oil futures to hedge can achieve the best effect, but soybean meal is poor. Comparing the hedge effect of the optimal hedge ratio estimated by the three methods, it is found that ECMBGARCH model is the most suitable to estimate the hedge ratio.
【作者單位】： 安徽財經(jīng)大學(xué)金融學(xué)院;安徽財經(jīng)大學(xué)統(tǒng)計與應(yīng)用數(shù)學(xué)學(xué)院;
【基金】：國家自然科學(xué)基金(11301001) 安徽省創(chuàng)新訓(xùn)練項目(201510378556)
【分類號】：F323.7;F724.5;F224

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