摘要
本文基于DCC-MGARCH模型对新疆天然气、WTI原油和焦煤期货之间的价格与波动率溢出效应进行了研究,并计算动态条件相关系数来测算三个市场间的对冲比率和投资组合权重。结果表明新疆天然气与WTI原油期货之间存在双向价格溢出,焦煤期货对新疆天然气存在单向均值溢出。在波动溢出层面,新疆天然气、WTI原油期货和焦煤期货三个市场之间不论是短期还是长期波动的持久性,两两之间都存在显著的双向波动溢出效应。运用条件波动率计算的对冲比率与投资组合权重显示出较大的变化,这意味着我们应当定期更新对冲比率与投资组合权重,以达到最优效果。本文有利于政府和企业根据替代能源市场间的信息传递机制,掌握能源市场定价规律,在全面系统了解天然气衍生品市场内部运行机制的基础上,建立完备的交易市场,对冲新疆天然气企业风险。
Based on the DCC-MGARCH model,this paper studies the price and volatility spillover effects between Xinjiang natural gas,WTI crude oil and coking coal futures,and calculates dynamic conditional correlation coefficients to measure the hedging ratios and portfolio weights among the three markets.The results show that there is a two-way price spillover between Xinjiang natural gas and WTI crude oil futures,and coking coal futures have a one-way mean spillover to Xinjiang natural gas.At the level of volatility spillover,there is a significant two-way volatility spillover effect between the three markets of Xinjiang natural gas,WTI crude oil futures and coking coal futures,whether they are short-term or long-term volatility.The hedging ratio and portfolio weight calculated using the conditional volatility rate show large changes,which means that we should regularly update the hedging ratio and portfolio weight to achieve the best results.This research is helpful for the government and enterprises to master the energy market pricing rules based on the information transmission mechanism between the alternative energy market,establish a complete trading market based on a comprehensive and systematic understanding of the internal operation mechanism of the natural gas derivatives market,and hedge the risks of natural gas enterprises in Xinjiang.
出处
《开发性金融研究》
2021年第2期86-96,共11页
Development Finance Research
作者简介
王雪,新疆财经大学金融学院,硕士研究生。
