摘要
套期保值作为风险管理的重要工具,已得到广泛的应用。本文在GARCH模型的基础上提出了一种改进后的动态BGARCH模型,对大连商品交易所大豆的套期保值问题进行了实证研究。研究结果表明:基差对现货和期货风险结构的影响是不对称的,其中正基差对风险结构的影响要大于负基差的影响。从样本区间外各种对冲模型的保值效果看,考虑了基差非对称效应的对冲策略能更好地减小组合的风险。
As an important risk management tool,hedging has been used widely.This paper proposes an alternative specification of the BGARCH model in which the effect is incorporated for estimating MVHRs.Empirical investigation in commodity markets suggests that the basis effect is asymmetric,i.e.,the positive basis has greater impact than the negative basis on the variance and covariance structure.Out-of-sample comparisons of portfolio variances indicate that the model with the asymmetric effect provides greater risk reduction.
出处
《南京财经大学学报》
2010年第5期43-49,共7页
Journal of Nanjing University of Finance and Economics
基金
国家自然科学基金项目(70873055)
教育部人文社会科学规划项目(08JA790064)
江苏省教育厅高校哲学社会科学基金项目(08SJB790011)
