【摘要】：針對(duì)我國(guó)豆類(lèi)期貨市場(chǎng)的的套期保值的績(jī)效,選取了豆粕、大豆和豆油三種商品期貨作為研究對(duì)象,利用OLS、ECM和ECM-BGARCH模型分別估計(jì)豆粕、大豆和豆油的最優(yōu)套期保值比例,通過(guò)構(gòu)建套期保值績(jī)效指標(biāo)來(lái)評(píng)價(jià)套期保值效果.實(shí)證表明,利用豆油期貨來(lái)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(jì)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(jì)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(cái)經(jīng)大學(xué)金融學(xué)院;安徽財(cái)經(jīng)大學(xué)統(tǒng)計(jì)與應(yīng)用數(shù)學(xué)學(xué)院;
【基金】：國(guó)家自然科學(xué)基金(11301001) 安徽省創(chuàng)新訓(xùn)練項(xiàng)目(201510378556)
【分類(lèi)號(hào)】：F323.7;F724.5;F224

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本文編號(hào)：2523501