| In 2022,the spot price of coal in the coal market has experienced huge fluctuations.Under the intensive regulation and control of policies,the coal price has gradually returned to a reasonable level,but coal enterprises still have the demand for hedging.With the continuous development of futures market,futures hedging has become one of the means of risk control for many enterprises.When manufacturers are faced with the risk of product spot price fluctuations,they will have the need to avoid risks and lock profits.Taking Shenhua Group as an example,this paper studies the optimal hedging ratio of thermal coal futures of Shenhua Group and designs the thermal coal hedging scheme for Shenhua Group,which will play a great role in avoiding spot price fluctuations and realizing long-term and stable development of coal enterprises.Firstly,this paper analyzes the current situation of coal market,and finds that the spot price of coal market fluctuates greatly,and coal enterprises will have the demand for hedging,so it is necessary to design hedging scheme for coal enterprises.Secondly,it introduces the basic situation of Shenhua Group and the relevant situation of thermal coal futures market,and finds that Shenhua Group,as a representative enterprise of thermal coal enterprises,may take futures to reduce losses in the face of large spot price fluctuations of thermal coal.Then,the hedging ratio of thermal coal futures is measured.First,the spot price and futures price data of thermal coal are analyzed and tested,and descriptive statistics,stationarity test and ARCH test are carried out to ensure that the data are suitable for measuring the hedging ratio of thermal coal.This paper calculates the hedging ratios of thermal coal based on OLS model,Copula-GARCH model and Copula-GJR-VaR model respectively,and the hedging ratios are 0.9219,0.6242 and 0.7845,respectively.The hedging performance is 0.7748,0.7210 and 0.8718,respectively.It is found that the hedging ratio calculated by Copula-GJR-VaR model is better than the other two models.Finally,it designs the hedging scheme for Shenhua Group.This paper designs the hedging scheme for Shenhua Group from several aspects,such as determining the direction of thermal coal hedging,selecting the thermal coal futures contract to build a position,calculating the demand for hedge funds,and estimating the hedging income.Choose different futures contracts to design the hedging scheme,and analyze the profit and loss situation and the risk in the hedging process.The paper concludes that when thermal coal enterprises use futures to hedge,the hedging ratio measured by dynamic model will be more accurate than that measured by static model.Using multiple futures portfolios can make up for losses more accurately than using single futures contracts,which can reach about 90%.Using futures hedging function can realize the locking of thermal coal spot prices and profits.Thus avoid the risk of spot price fluctuations. |
