Research On Minimum Variance Hedge Model On Base Of Nonlinear Portfolio

The key issue of futures markets is the determination of hedge ratio. The research of the hedge model is essential for the hedger and is a key issue of futures markets. Through hedge model to determine the hedge ratio can improve the hedge efficiency and effectively averse the risk of cash markets.There are five chapters in this paper. The first chapter is about the significant of the research, present research review, frame of the paper and main content. The second chapter is the present theory and model of futures hedging. In the third chapter, we build a single MV futures hedging model on base of Copula. In the fourth chapter, we build a multiple MV futures hedging model on base of MVGARCH. The fifth chapter is the conclusion. The main works of the paper are shown as follows.(1) We build a single MV futures hedging model on base of CopulaOn 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. Empirical test shows that, the efficiency of this model is higher than present ones. Using this paper's model to hedge can effectively averse cash risk.(2) We build a multiple MV futures hedging model on base of MVGARCHThis paper put forward principle of basis dispersion, risk nonlinear portfilio and dynamic hedging, on the base of minimum variance hedge model, through minimize the futures and cashes portfilio risk, build a multi-futures hedging model on the base of nonlinear portfolio. The empirical test shows that this paper's model can effectively disperse the basis risk and increase the hedge return.The character of the model is firstly that we use Copula model to realize the nonlinear matching of futures' and cash's return. We use 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, the anticipation of the standard deviation of return overcomes the efficiency distortion problem. 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 distortionwhen the return rate of futures and cashes structure changing. Thirdly, we use multiple futures to hedge single cash to disperse the basis risk. We introduce the futures return vector to replace the single future return, deduce the multiple futures to single cash hedge model to realize the dispersion of basis risk. Forthly, we use the MVGARCH to anticipate the nonlinear volatility. In the calculation of futures costandard matrix, we use the MVGARCH model to reflect the cash's influence on the futures and the nonlinear changing of futures and cashes, thus the accuracy of hedge ratio would be inhanced, and we provide a new thought to solve the cross hedging ratio.