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发表时间： 2009-01-01

发表刊物： 系统工程理论与实践

期号： 8

页面范围： 1-10

ISSN号： 1000-6788

摘要： On the base of minimum variance hedge ratio, this paper put forward principle of nonlinear matching of futures and cashes, and the one of return variance anticipation, using Copula model to calculate the nonlinear correlation, and using GARCH and EWMA model to anticipate the standard deviation of futures' and cashes' return rate, so the hedge efficiency will be enhanced. The character of the model is firstly that using the copula to calculate the correlation parameter to matching the futures' and cashes' return rate nonlinearly, so the calculation of correlation parameter in extreme condition will be guaranteed. Secondly, through the principle of return variance anticipation, we use GARCH and EWMA model to anticipate the standard deviation of futures' and cashes' return rate, thus we can solve efficiency distortion when the return rate of futures and cashes structure changing. Empirical test shows that, the efficiency of this model is higher than present ones. Using the this paper's model to hedge can effectively averse cash risk.

备注： 新增回溯数据