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沪铜套期保值比例及效率的实证分析

Empirical analysis on hedging proportion and efficiency of Shanghai copper

中文摘要英文摘要

本文以沪铜期货的多头套期保值为研究对象,分别利用OLS模型、ECM 模型和GARCH模型对一月期铜和三月期铜的套期保值比例及保值效果进行了分析,发现OLS模型对一月期铜的套期保值效果要优于其他模型,而三月期铜的套期保值效果是ECM 模型和GARCH模型更合适。说明一般情况下,具有动态特征的计量模型适合于较长的期货合约,其套期保值效果更好。

Based on Shanghai copper futures of bull hedging for research object, this paper studied the copper hedge ratio and hedging effectiveness of January and March period copper by using OLS model、ECM model and GARCH model,and found that in January the copper hedging effect estimated from the OLS model is superior to others models,while the ECM model and GARCH model are more appropriate on March copper hedging.Explain the futures contracts are longer ,the better the effect of hedging estimated from the dynamic econometric models.

陈青

财政、金融有色金属冶炼

套期保值套期保值比率GARCH模型

hedginghedge ratioGARCH model

陈青.沪铜套期保值比例及效率的实证分析[EB/OL].(2009-04-23)[2025-08-11].http://www.paper.edu.cn/releasepaper/content/200904-706.点此复制

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