基于动态条件相关系数模型的石油市场套期保值比估计

以WTI和Brent两地的原油现货市场和期货市场为研究对象,选择对角化的动态条件相关(DCC)模型估计了市场间的动态条件相关系数,求解了WTI市场、Brent市场及跨市的动态套期保值比,评价了各种市场组合的套期保值效果.得到如下几点结论:第一,WTI市场的一体化程度高于Brent市场;第二,两个月期货的套期保值比高于1个月期货的套期保值比,WTI相应市场组合的套期保值比要高于Brent市场;第三,采取Brent期货对WTI现货进行对冲时,其套期保值比要高于用WTI期货对Brent现货对冲时的情形,也高于Brent市场的套期保值比;第四,套期保值比越高,套期保值效果越好.

Hedging Ratios Estimation of Oil Markets Based on Dynamic Conditional Correlation Model

The diagonal dynamic conditional correlation model is applied to estimate the dynamic conditional correlations among oil markets,calculate the dynamic hedging ratios between spot market and futures market,and evaluate the hedging performance of different kinds of markets portfolio,including WTI and Brent markets and cross markets.Four conclusions are drawn: first of all,the degree of integration of WTI is higher than Brent;secondly,the hedging ratios between spot market and 2-month futures market are higher than those between spot market and 1-month futures market,the hedging ratios of WTI markets portfolio are also higher than those of corresponding markets portfolio of Brent;thirdly,the hedging ratios between WTI spot market and Brent futures market are higher than those between Brent spot market and WTI futures market and those of Brent markets portfolio.Finally,the higher hedging ratios,the higher hedging performance is.