Research On The Optimal Hedging Model Of WTI Crude Oil Futures

As one of the commodities with the largest volume in international trade,crude oil’s strategic position is self-evident.However,its price trend will be affected by various events,such as the new crown epidemic in 2020,which led to the price of crude oil below-40 dollars,and the Russian-Ukrainian war in 2022,which caused the price of crude oil to exceed $110 per barrel.Practice shows that the violent fluctuation of crude oil prices will obviously interfere the normal operation of the macro economy,and with the help of crude oil commodity futures,crude oil can be hedged to reduce the unilateral risk of crude oil trading due to price changes.This paper divides the WTI crude oil spot and the corresponding price returns of four futures contracts into in-sample data and out-of-sample data with the 2020 epidemic as the time node,and uses OLS,B-VAR,ECM,GARCH and ECM-GARCH models to estimate the hedging ratio,introducing VAR,VaR,and ES performance evaluation criteria,combined with cost criteria,to form seven dimension indicators of cost,inside and outside the sample HEVAR,inside and outside the sample HEVaR,and inside and outside the sample HEES.A class of optimal hedging models is proposed,and the following three conclusions are finally drawn:(1)The hedging ratios are all around 1,but the hedging ratios calculated by using different hedging models for the same expiry time or using the same hedging model for different expiry times are quite different;(2)Under the evaluation of 7 dimension indicators of cost,inside and outside the sample HEVAR,inside and outside the sample HEVaR,and inside and outside the sample HEES,there is no single hedging model that makes it optimal in different WTI crude oil futures expiry contracts;(3)Using the above 7 dimensional indicators,combined with the majority rule,for the F1 and F2 contracts,the hedging ratio estimated by the OLS model is the best;for the F3 and F4 contracts,the B-VAR model estimates the hedging ratio is optimal.That is,in the face of WTI crude oil hedging within two months,the OLS model is selected to estimate the optimal hedging ratio;if the WTI crude oil hedging exceeds two months,the B-VAR model is selected to estimate the optimal hedging ratio.