一个考虑基差收敛性的最适保值比率模型——上期所铜期货卖空保值实证分析

本文针对商品期货市场在基差持续朝一个方向变动的情况下卖空保值风险大、成本高的重大现实问题，基于商品期货的持有成本理论，推导出具有普遍实用价值的考虑基差收敛性的动态最适保值比率模型。然后，综合应用时间序列分析和截面分析方法，在现货价格与到期期间恒定的利率调整基差间构建BV-GARCH模型，并利用BEKK形式的BV-GARCH模型，以上海期货交易所铜期货为实证对象，检验和比较了考虑与未考虑基差收敛性的最适保值比率模型的保值绩效，得出了有意义的具体结论。

A Optimum Hedging Ratio Model of Having Considered Basis Convergence

In this paper, we aim at the important practical problem of high risk and high cost of short hedging under the condition of basis change toward one direction, based on the theory of cost-of-carry of commodity futures, derive a model of dynamic optimum hedging ratio considering basis convergence which possess universal and applied value. Then using methods of time series analysis and section analysis synthetically, we construct BV-GARCH model between the spot price and interest adjusted basis corresponding fixed maturity. By utilizing BV-GARCH model with BEEK style, taking the copper future trade in Shanghai Futures Exchange as positive object, We test and compare the hedging performance of model of dynamic optimum hedging ratio. At last, we draw some significant conclusions.