China's Crude Oil Dynamic Hedging Program Under The Impact Of International Crude Oil Prices

In recent years,with the sustained and rapid development of China's economy and the sharp increase in the demand for oil,China's dependence on foreign crude oil has also been increasing.In 2019,China's crude oil import volume reached 510 million tons,becoming the world's largest crude oil importer,and China's dependence on foreign crude oil has also increased to 72.5%.At the same time,in 2019,the aggravating trade disputes and geopolitical changes caused several fluctuations in the oil market.In 2020,the international oil price collapsed due to the impact of the co VID-19 epidemic and the collapse of the Vienna Alliance.On April 21,WTI crude oil futures plunged 300% to-37.63 USD/barrel,closing in negative territory for the first time in history.The slump in oil prices has had a huge impact on the oil production industry and energy companies.In order to reduce the risk caused by the fluctuation of international oil prices,it is worth exploring how enterprises should use financial derivatives to avoid risks.Based on the modern hedging theory,this paper takes the Spot price index of Daqing crude oil and the futures price of WTI crude oil as the research objects,and makes an empirical study on the risk management model of crude oil price.Firstly,the hedging model of crude oil futures was established based on the hedging model with the minimum variance,and the traditional static OLS model and ECM model were used to calculate the hedging ratio as a reference.Then the dynamic hedging ratio is calculated by using the multivariate GARCH model which can describe the heteroscedasticity of time series.Because there is often a non-linear correlation between financial assets,this paper introduces Copula function and establishes copula-DCC-Garch model to calculate the dynamic hedging ratio between Daqing spot crude oil and WTI crude oil futures.Finally,variance measurement,value at risk(Va R)measurement and model accuracy prediction method are used to measure and compare the hedging performance of different models.The results show that :(1)On the whole,the effectiveness of dynamic hedging based on EGARCH model is better than that of traditional static hedging model;(2)The Copula-DCC-EGARCH model in this article is a combination of Copula and DCC-EGARCH models.As the Copula function can measure the nonlinear correlation between the two series,it better fits the correlation between the Daqing crude oil spot price and the WTI crude oil futures price.By comparing the performance of different hedging,the hedging calculated under this model The hedging effect is the best,and it is more in line with the actual market;(3)Investors should improve their ability to predict and evaluate the fluctuation of international crude oil price.It is suggested to use Copula-DCC-Garch model to calculate the hedging ratio and establish a dynamic hedging portfolio of China's crude oil spot and international crude oil futures to reduce risks and gain returns.Since the establishment of China's crude oil futures market in 2018,China's crude oil futures pricing mechanism has gradually matured,which can reflect the current situation of China's crude oil industry supply and demand more truly and objectively.It is hoped that in the future development,the internationalization of Shanghai crude oil futures will become wider and wider.At the same time,investors can pay more attention to domestic crude oil futures and use domestic crude oil futures to hedge,so as to reduce the risk brought by crude oil price fluctuation to a greater extent.