Research On The Optimal Hedging Ratio Of Rapeseed Oil Futures Based On DCC-GARCH Model

China is the country with the largest production and consumption of rapeseed oil.How to better avoid the price risk borne by rapeseed oil with the largest output of extracted oil in the oil industry becomes the purpose of this thesis.In recent years,rapeseed oil production has been increasing rapidly,reaching the maximum output value within five years in 2018.The overall price of rapeseed oil fluctuates greatly and shows a downward trend.The rapeseed oil price at home and abroad is mainly characterized by strong shocks,with the overall trend of decline.However,in 2019,the supply of rapeseed and rapeseed oil at home and abroad is suddenly reduced,and the market also has a rigid demand for rapeseed oil,which makes the price of rapeseed oil show a trend of shock and rise.For rapeseed oil processing enterprises,their risks are increasingly intensified and the risk exposure is constantly growing.Therefore,it is urgent for them to know how to use emerging means to avoid risks,improve corporate profits and reduce losses.Financial derivatives are the product of the continuous evolution of the financial market.Their excellent features of hedging and hedging price risks attract the attention of investors,and make the futures market develop into a more mature financial market.Zhengzhou Commodity Exchange listed on the rapeseed oil futures on June 8,2007 to satisfy the investors investment demand in the field of rapeseed oil commodity.Hedgers can use hedging means to better predict the price trend of rapeseed oil,and reduce the impact of changes of rapeseed oil price fluctuations.Let rapeseed oil processing enterprises allocate money and resources to avoid the potential risks of rapeseed oil.Rapeseed oil futures can give full play to the role of price discovery,hedging and risk avoidance,which can not only protect the rights and interests of insurance holders and rapeseed oil related enterprises,but also and promote the healthy and stable development of the oil industry and quickly deal with the problems concerning agriculture,rural areas and farmers.This thesis takes rapeseed oil futures as the main research object,obtains the dynamic conditional correlation coefficient by using the DCC-GARCH model,and then estimates the optimal hedging ratio by means of minimizing value-at-risk.In terms of the effectiveness of the DCC-GARCH model hedging,the effectiveness of the DCC-GARCH model is relatively high by comparing the optimal hedging performance obtained by OLS model,VECM model and B-VAR model.It shows that the dynamic hedging model estimated by DCC-GARCH model is more suitable as an appropriate reference index for the research of optimal hedging ratio of rapeseed oil futures in China.This thesis is divided into five parts.The first part is the introduction,which mainly explains the topic background,research significance,research contents,research methods and shortcomings of this thesis.By sorting out relevant literature,it reviews the theoretical basis of GARCH model and VAR minimization model involved in hedging research.The second part is the introduction to rapeseed oil hedging theory,which mainly expounds the basic characteristics and price influencing factors of rapeseed oil spot and futures,fundamentals of hedging,DCC-GARCH model,shrinkage model of risk-value minimization,OLS model,B-VAR model and VECM model.The third part is the data selection and data processing of the logarithmic price and logarithmic yield data of rapeseed oil spot and futures,mainly including the definition of "bull market" and "bear market",descriptive statistics,ACF test and ADF test.The fourth part is the empirical analysis of the hedging ratio of rapeseed oil,which mainly studies the hedging ratio of the logarithmic return of rapeseed oil spot and futures by OLS model,B-VAR model,VECM model and DCC-GARCH model.The fifth part is that by analyzing the hedging performance of each model,the optimal hedging ratio of DCC-GARCH model is obtained,and the hedging performance is higher.At the same time,it also points out the main conclusions,and puts forward relevant suggestions for the hedge to avoid the potential risks during the hedging period.Through the empirical study on the hedging ratio and performance evaluation in this thesis,the conclusion can be obtained:The first point is that through the logarithmic price charts of rapeseed oil spot and futures and the correlation between them,it is clear that rapeseed oil spot and futures price trend is basically the same and they have a strong correlation,indicating that the research on spot hedging by using rapeseed oil futures has practical value.The second point is that OLS model,VECM model and B-VAR model were used to analyze the static and dynamic hedging ratio of the logarithmic return rate of rapeseed oil spot and futures respectively,and compared with the dynamic hedging ratio of rapeseed oil obtained by DCC-GARCH model.The results show that the DCC-GARCH model estimates the optimal hedging ratio of rapeseed oil,the best effectiveness and the smallest fluctuation range,which realizes the purpose of shrinking the volatility of hedging ratio.Meanwhile,it also shows that the DCC-GARCH model has better prediction ability in domestic rapeseed oil market,because the model introduces the time factor into the decision-making process of hedging.The third point is that in order to carry out hedging operations with the optimal hedging ratio obtained by the DCC-GARCH model,the hedging ratio should be continuously adjusted according to the changes of rapeseed oil price,self-effect,futures price expectation and other factors,so as to achieve the purpose of risk minimization hedging.