Study of dynamic hedging model of oil futures based on BGARCH--《Journal of Hefei University of Technology(Natural Science)》2011年08期
Study of dynamic hedging model of oil futures based on BGARCH
XU Ye,JIAO Jian-ling (School of Management,Hefei University of Technology,Hefei 230009,China)
According to the characteristics of stochastic volatility of oil prices,a dynamic hedging model for the WTI oil spot and futures prices is constructed and the BGARCH model is used to estimate the optimal dynamic hedge ratio,which can reduce risks brought by oil price volatility.Based on multiple indicators of the hedging strategy,the hedging effectiveness of dynamic hedging model is compared with those of the traditional hedging model and VaR-based model with static hedge ratio.The results show that the dynamic hedging model can better hedge the oil price risks.
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基于动态copula-bgarch模型的汇率风险套期保值比率研究
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