Research On Hedging Ratio Of Crude Oil Market In China

With China's crude oil coming soon,China's crude oil market has gradually matured.In order to better adapt to this tempted and risky market,China should actively use hedging means to stabilize China's crude oil market.Since the two oil crises of the 1970s,after 40 years of rapid development,the world's crude oil futures trading volume and trading varieties have shown a relatively rapid growth trend,has become an important part of the commodity futures market.Oil resources and oil consuming countries,through the construction and operation,and actively participate in the crude oil futures market,not only in accordance with the futures market to reflect the market supply and demand situation to adjust the production,affecting consumption and planning long-term response,and also as a The main financial instruments to avoid,hedge and reduce the current or future with the price fluctuations caused by the system class or non-system class risk.The most representative risk hedging tool in the futures market is hedging.In the third part,the four hedging models are analyzed,which are OLS model,ECM model,ECM-BGARCH model and Copula-ECM GARCH model respectively.The operating conditions and advantages and disadvantages of these four models are discussed.The fourth chapter is based on the data of China's Daqing crude oil and Shanghai Futures Oil,Frent crude and WTI crude oil futures.The model parameters and correlations are calculated by EVIEWS software and MATLAB software.Because the Copula function can solve the nonlinear correlation problem in the research of the correlation of economic data,the scope of the data is extended,so that the result of the data is more accurate.However,the Copula function is not very much used in the crude oil futures market.Based on the GARCH model,this paper combines the Copula function and the ECM-GARCH model to obtain the most effective calculation of the hedging ratio.In this paper,we can combine the ECM-GARCH model to solve the problem of autocorrelation and heteroskedasticity.Data model,and find the highest hedging futures varieties.Through the empirical part,we can get the following conclusions:For Shanghai fuel oil futures,WTI crude oil futures and Brent crude oil futures,Brent crude oil futures hedging is the highest efficiency,at the same time,relative to hedging effective The same higher Brent crude futures,WTI crude oil futures hedge ratio value is lower,that is,only a small cost can hedge risk;and for these three futures,the use of Copula function after the ECM-GARCH model The effect is better,indicating that the introduction of Copula function is very good fit futures and spot data related to non-linear characteristics,more in line with the real situation.