Research On Hedging Of RMB Exchange Rate Futures Based On MRSD-Copula-GJR-VaR Model

Ever since the foreign currency exchange rate system reform in 2005,the indeterminacy of RMB exchange rate and foreign exchange risk have greatly increased.Taking the using of foreign currency futures contracts to hedge into consideration is an important measurement of managing the foreign exchange rate.Determining the optimal hedging strategy has always been one of the most important topics in the field of foreign exchange futures hedging research,and the effect of hedging strategy mainly depends on the accuracy of hedging ratio estimation.In this paper,when studying the RMB exchange rate futures hedging strategy in different markets,on the one hand,combining the portfolio returns and the risk preference of the investigator,aimed at minimizing the VaR value of the RMB exchange rate spot and futures hedging portfolio to derive the corresponding expression of the optimal hedging ratio,on the other hand,this paper constructs MRSD-Copula-GJR-skew-t-VaR model to estimate the optimal hedge ratio based on the minimum VaR framework between RMB exchange rate spot and futures by introducing Markov regime switching dynamic Copula function to the research to describe the nonlinear dependence.Taking the CME?HKEX?USDCNY?USDCNH as research objects,this paper firstly constructs GJR-skew-t model to estimate the conditional volatility of RMB exchange rate spot and futures returns and determines the specific distributions according to the characteristics of biased,peak thick tail distribution and asymmetric volatility in RMB exchange rate spot and futures.Then using cumulative distribution function value sequence in different markets to estimate the parameters of Markov regime switching dynamic Copula model.Furthermore,according to the changing market risk,dynamic hedging ratio of RMB exchange rate futures is calculated at a minimum VaR framework.At the same time,taking the advantage of hedging portfolio VaR ratio improved represented by yield to measure the effect of hedging.Finally,this paper compares and analyzes the hedging performance of Markov regime switching dynamic Normal Copula-GJRVaR model with TVP Copula model,DCC Copula model,Static Copula model,DCC GARCH model and CCC GARCH model.The results show that both onshore and offshore market,each return sequences are obvious biased and peak thick tail features.The correlation between RMB exchange rate spot and futures is time varying,and has significant characteristics of high continuity and state conversion,Markov regime switching Copula model can well portray these characteristics.From the hedging effectiveness,the use of MRSD-Copula-GJR model in RMB exchange rate futures hedging operations,both can hedge the risks to the greatest extent of the spot market,and can also obtain the highest hedging gains,which achieve the optimal hedging effect.TVP Copula model,DCC Copula model,Static Copula model,DCC GARCH model and CCC GARCH model in a descending manner on hedging performance.In turn this also reflects the superiority of introducing Markov process on the basis of Copula function,while fully illustrate the model depicted the regularity of hedging on futures market.Therefore,for investors,the dynamic hedging strategy based on MRSD-Copula-GJR model is an effective choice to avoid foreign exchange risks.Meanwhile,within the framework of the VaR minimization target,investors can choose different hedging strategy according to their own risk capacity,risk-bearing investors choose hedging ratio under lower confidence level,while risk-averse investors select higher confidence level hedging ratio.