基于非线性相关的最小方差套期保值比率研究

在最小方差套期保值模型的基础上,提出了最小方差套期保值的期货与现货波动非线性对冲原理,利用非线性相关系数代替传统的线性相关系数,提高了套期保值比率的准确性。提出了套期保值的收益率波动预测原理,利用GARCH(1,1)预测期货收益率的方差,利用EWMA模型预测现货收益率的方差,解决了收益率在历史期和套期保值期间因收益率波动发生结构性变化所导致的套期保值效果失真的问题。实证研究结果表明,本研究的套期保值比率的有效性高于现有模型,应用本研究模型进行套期保值,可以有效规避现货价格风险。

Research on MV Hedge Ratio Based on Nonlinear Correlation

On the base of MV hedge ratio, this paper put forward the principle of future return and spot return matching, using nonlinear correlation parameter replace the linear one to improve the hedge ratio. We also put forward the principle of dynamic anticipation of the deviation of future and spot return, using GARCH(1,1) to anticipate the future return deviation and EWMA to estimate the spot return, these will solve the problem caused by data changing. The empirical tests shows that the efficiency of the paper superior to present model, using the MV hedging ratio based on nonlinear correlation can effectively averse the spot price risk.