我国黄金期货套期保值比率的实证研究

摘要

In January 9,2008,after the approval of the CSRC,China's gold futures after a long time of preparation after officially listed on the Shanghai futures exchange,listed on the first day of trading volume reached 121468,is currently one of the four main metal futures products,is also one of the relatively large volume of trading varieties. Hedging is one of the basic functions of futures the gold futures trading for gold operators have a way to hedge risk,hedging. Therefore,establish OLS model,ECM model,GARCH model,ECM-GARCH model,EGARCH model,to estimate the hedge ratio of gold futures,and compare its performance,in order to provide reference for gold business operators are hedging.%2008年1月9日，经过证监会批准，我国黄金期货在经过长时间的筹备后正式在上海期货交易所上市，上市首日的交易量达到121468手，目前是金属期货的四大主要产品之一，也是成交量比较大的交易品种之一。套期保值是期货的基本功能之一，黄金期货的推出让黄金的交易经营商们有了对冲风险、套期保值的途径。因此，分别建立OLS模型、ECM模型、GARCH模型、ECM-GARCH模型、EGARCH模型，来估计黄金期货的套期保值比率，并且对其绩效进行对比，以期能够为黄金交易经营商们套期保值提供借鉴。