Study On The Hedging Ratio Of Crude Oil Futures In China

In March 2018,China’s crude oil futures were officially launched in Shanghai International Energy Exchange Center.Before the listing of crude oil futures,investors can only choose international crude oil futures for risk management.Nowadays,the listing of crude oil futures in China provides better risk management tools for individual and enterprise investors.This paper selects the Daqing crude oil spot and crude oil main continuous futures price from March 26,2018 to January 4,2019 as the sample data.The price from January 7,2019 to February 1,2019 is used as sample data.The data in the sample was processed first and the stationarity test,cointegration test and ARCH effect test were performed respectively.After the data is tested,the static model and the dynamic DCC-GARCH model are constructed respectively.Considering the characteristics of the peak and thick tail of the financial time series,the dynamic model includes the DCC-GARCH model with residuals obeying the normal distribution and the residual obey.Distributed DCC-t-GARCH model.Through empirical analysis,the optimal hedging ratios of static and dynamic models with minimum variance and minimum CVaR are obtained respectively,and the optimal hedging method is evaluated by performance evaluation indicators.The hedging ratio obtained by using the data in the sample is applied to the data outside the sample for empirical analysis to verify the hedging effect of the above method.The empirical results show that the DCC-t-GARCH model constructed by the minimum variance method has the best hedge effect and can avoid the risk to the greatest extent when hedging the crude oil futures.The same conclusion is obtained by verifying the data outside the sample.Finally,based on the empirical conclusions,some suggestions were made to investors and market regulators.