A Study on the Optimal Hedge Ratio Based on Regime Switching

套期保值作为期货市场的重要功能不仅是众多套期保值厂商关注的重要问题，也是期货价格理论的核心问题之一。研究套期保值的关键问题是套期保值比率的确定，通过套期保值模型合理确定最优套期保值比率，可以提高套期保值效果，有效规避现货价格的风险。 中国期货市场处于快速成长阶段，市场发展过程中累积了较多的不确定性，市场所处状态经常会发生改变。不同的市场状态下，期货同现货价格之间的动态关系会发生变化，最优套期保值比率应该也有所不同。本文采用马尔可夫(Markov)过程对市场状态的变化进行模型化分析，将市场状态的转变引入到期货最优套期保值比率的确定中来。对于状态间的转换本文不仅考察了转换概率不变的情形，同时也分...As a major function of futures market, hedge is not only the concern of manufacturers, but also one of the core issues of futures pricing theory. The key issue of research on hedge is to determine the optimal hedge ratio. By determining hedge ratio with rational hedge ratio model, we can improve hedging effectiveness and avoid the risk of spot prices fluctuating effectively. China's futures marke...学位：经济学硕士院系专业：经济学院金融系_投资学学号：1562007115146

Hedging with Markov regime-switching method

中国商品期货市场由于各种因素影响导致期现关系的高、低波动状态发生变化,这对套期保值产生重要影响,将马尔可夫状态转换方法引入到中国商品期货市场最优套期保值研究,分析状态转换下的套期保值.研究表明,期货市场和现货市场的关系表现为相异的高、低波动状态.高波动状态的稳定性、持续时间均低于低波动状态,市场所处的状态与基差变化密切相关.套期保值绩效分析表明,单一状态套期保值中MgArCH模型的效果好于VECM,而VECM又好于VAr,它们均优于OlS模型.时变转换概率和常转换概率马尔可夫模型的套期保值效果优于单一状态下的套期保值.The relationship between futures and spot prices for the China's commodity futures markets displays high and low volatility regimes that often affected by various factors,which greatly impacts the hedging behavior.The Markov regime-switching method was introduced to study the optimal hedging of China's commodity futures markets,and to analyze the hedging with regime-switching.The results show that there are different high and low volatility regimes in the relationship between futures and spot prices, the stability and duration of the high volatility regime are lower than the low volatility regime,and the regimes of the markets are closely related to the changes of basis.Moreover,hedging performance analysis shows that in the single regime models the hedging performance of MGARCII is better than the VECM, the VECM is better than the VAR,and the three models are better than the OLS model.And the hedging performance of the constant and time-varying transition probability Markov models is better than that of single regime models.国家社会科学基金(11CJY096); 中央高校基本科研业务费专项基金(2010221055); 国家博上后科学基金(20090450006