Based On Copula Function In PTA Futures Hedge Research

The stock price fluctuations can bring risk into the production and operation of the enterprise. For the chemical fiber enterprises, The raw material (polyester slice, PET) and the product (polyester fiber filament or short filament) are under the market environment which competes completely, therefore, the price fluctuations are frequent. PTA (purified terephthalic acid) is the main raw material of PET, which has a strong correlation with PET and its downstream products. The chemical fiber enterprises can take advantage of PTA futures to hedge to avoiding the risk of price fluctuations for their raw materials or products. This thesis studied how to use the PTA futures cross-hedging to PET from the chemical fiber enterprise avoiding the price fluctuations risk of raw material angles.This thesis introduces the copula function into the minimum variance hedging model to analysis the correlation between PTA futures and PET, using the corresponding relationships between the copula function and the Kendall rank correlation coefficientτcalculates the median correlation coefficient based on the Copula function; At the same time, considering the return series has conditional heteroskedasticity, fat tail distribution characteristics, predicted the Volatility of the return series of PTA futures and PET with the GARCH (1,1)-GED Model, calculated the cross-hedging ratio of PTA futures to PET. the result of comparative analysis of hedging effectiveness shows that the introduction of the correlation measure based on the Copula function improved the effectiveness of hedging. After hedging,the volatility of PET stock price was reduced significantly, enhanced the resistance to risks.PTA (purified terephthalic acid) is a intermediate product in the chemical industry chains, it has certain price relevance with the upstream and downstream product, so this study has given the method avoiding risk of price fluctuations by cross-hedging in PTA-related products ,which has the high promoted value and the practical significance.