【摘要】 运用copula函数的方法估计中国大豆期货市场的最优套期保值比率,通过比较样本内和样本外的套期保值有效性以及经济效用发现,TGGS(time-varying Gumbel and Gumbel survival)copula的结果要优于OLS和DCC(dynamic conditional correlation)-GARCH的结果.同时,发现使用距离到期日5个月的期货合约进行套期保值的风险最小而且套期保值的效率最高,这和中国期货市场使用随着时间变化的保证金比率有关,即距离到期日越近,保证金比率越高.更多还原

【Abstract】 Copula function was employed to estimate the optimal hedge ratio for soybeans contracts concluded in the Chinese commodity futures market.By comparing the in-sample and out-of-sample hedging effectiveness and economic utility,it was found that the time-varying mixture of Gumbel and Gumbel survival copula function for soybeans outperforms the simple OLS regression and the dynamic conditional correlation method.In addition,the contracts that are most effective in reducing hedged portfolio variance are five months to the maturity of soybeans,not the nearby contracts.This is due to the unique time-dependent margin rule in the Chinese futures markets,whereby margin rate increases as contracts approach delivery dates.更多还原