Study On Crude Oil Futures Hedging Based On Multivariate Stochastic Volatility Model

Crude oil is one of the most important energy and resources in the development of modern industry, not only in international trade play a decisive role position, is a healthy development of the national economic security, is an important index of the relationship between the beneficial to the people’s livelihood. In China since1993, it is already a net importer of crude oil. Since10years, the total amount of China’s crude oil imports accounted for about a year the total consumption of crude oil three. Since2004, China consumption level of crude oil for the first time in more than second of the world economy, Japan, to become the world’s second largest oil consuming country, second only to America. Soaring oil prices led to a rise in the cost of manufacturers, residents need not guaranteeFirst of all, from2005to2014America Chicago Mercantile Exchange Group (CME)of the West Texas Intermediate (WTI) futures contracts, the Intercontinental Exchange in Europe (ICE) of BRENT crude oil futures contract, and China Shanghai Futures Exchange (SHFE) of the fuel oil futures contracts for the generation of data table. This paper attempts to find suitable for hedging futures contracts, and explore the possibility Chinese fuel oil futures hedging.Secondly, this paper constructs three kinds of multivariate stochastic volatility model is different, the fixed coefficient of multivariate stochastic volatility model (CC-MSV), dynamic coefficient of multivariate stochastic volatility model (DC-MSV), dynamic coefficient of multivariate stochastic volatility model with Granger test (DGC-MSV), through the comparison between three different models, to find the best fit the actual data, hedging model.Thirdly, according to the three kinds of multivariate stochastic volatility model observed correlation between international crude oil spot price volatility and futures price fluctuation, at the same time for the volatility spillover between existence, finally found, NYMEX crude oil futures contracts have a strong correlation to America WTI crude oil spot price, and the volatility spillover exists obvious. ICE crude oil futures contracts also has a strong correlation to the British BRENT crude oil spot price, also has volatility spillover effect, but not as a high degree of WTI crude oil futures. Shanghai fuel oil futures contracts for Oman crude oil spot prices are mainly exported to Asian market time-varying correlation is not sensitive, also does not exist the volatility spillover effect. Make good use of fuel oil futures to hedge.Finally, on the base of summarizing the dissertation, hedging and accelerate the construction of crude oil futures market in China and puts forward some policy suggestions from the utilization of crude oil futures, with a view to enterprises for hedging practices and government control of oil price fluctuations will provide some help.