The Study Of Copper Hedge Ratios Based On ECM And GARCH Model

A basic function of futures market is to elude the risk of CRB's price volatile,which is completed by hedging.During the process of hedging,the most important problem is that how the hedging ratio is confirmed.But choose the constant value of one as the hedging ratio is not the optimal strategy.Financial experts suppose a large number of financial time-series econometric model to calculate the hedge ratio,such as the OLS method,ECM method,GARCH model,etc.These models have their advantage and disadvantage.This paper use the copper price of SH Futures Exchange and spot copper price of Yangtze River Nonferrous Metals market,the future price and spot price of London's metal exchange combine with OLS method,ECM method and BGARCH model to calculate the hedging ratio,in hope to get the better way to calculate the value of hedging ratio。we can compare the SH future copper and LME future copper in eluding the price risk by hedging performance,then we can find the distance between our country future markets and the international top future markets, in order to promote the future markets of our country.