Based On The Hedging Ratio Under The Egarch - Ecm Model Calculation And Performance Analysis

With the development of economy, the scale of foreign trade in our country has enlarged steadily and enterprises have faced increased risks of making benefit and exchange rate fluctuations. While Countries such as Europe, the United States is our country’s primary bilateral trade partner. With the increase of bilateral trade, Trade risk in China’s enterprises will be affected by fluctuations in the exchange rate of the euro and the US dollar and other major currencies. The development of enterprises will be faced with the influence of the exchange rate fluctuations, so we need to avoid the risk of exchange rate fluctuations and help enterprise development.In this paper, we study the foreign exchange futures and empirical to calculate the hedge ratio and performance analysis. Different hedge ratio has an effect on the cost and the performance of the hedge. So we will calculate the hedge ratio to analysis performance.There are static and dynamic hedge ratio calculation model. In this paper, we will use the modified model which is based on dynamic hedge ratio model. Fluctuations in futures and stock yields are asymmetric. At the same time, they also have cointegration relationship. Based on asymmetry, we use logarithmic to correct the GARCH model, we can gain EGARCH model. We take cointegration relationship into account the EGARCH model, namely EGARCH-ECM.In the empirical analysis, we use these models to calculate hedging ratio of the futures which have different maturity dates. By comparing the result of performance analysis, we can evaluate the quality of each model. The improved model can improve the performance, and the performance of the static model is better than that of the dynamic model. However, for the three-month Canadian dollar futures, the improvement of the static model does not improve performance. So, in the empirical analysis, the analysis of the data and model are important.