عنوان مقاله :
ﺎرﺑﺮد ﻗﺮاردادﻫﺎي آﺗﯽ در ﻣﺤﺎﺳﺒﻪ ﭘﻮﺷﺶ ﺑﻬﯿﻨﻪ رﯾﺴﮏ ﺑﺎزار ﻧﻔﺖ ﺧﺎم: ﻣﻘﺎﯾﺴﻪ روﯾﮑﺮدﻫﺎي اﯾﺴﺘﺎ و ﭘﻮﯾﺎ1
عنوان به زبان ديگر :
Application of futures in calculating optimal hedge ratio in crude oil market: Comparison between static and dynamic approaches
پديد آورندگان :
آل علي، سيمين دانشگاه آزاد اسلامي تهران مركزي- گروه اقتصاد , ابونوري، عباسعلي دانشگاه آزاد اسلامي تهران مركزي - گروه اقتصاد , امام وردي، قدرت اله دانشگاه آزاد اسلامي تهران مركزي - گروه اقتصاد , غياثوند، ابوالفضل دانشگاه آزاد اسلامي تهران مركزي - گروه اقتصاد
كليدواژه :
پوشش ريسك , قرارداد آتي , حداقل واريانس , كاپولا
چكيده فارسي :
ﯾﮑﯽ از ﻣﻬﻢﺗﺮﯾﻦ اﺑﺰار ﭘﻮﺷﺶ رﯾﺴﮏ ﻧﻮﺳﺎﻧﺎت ﻗﯿﻤﺖ ﺑﺎزار ﻧﻔﺖ ﺧﺎم اﺳﺘﻔﺎده از ﻗﺮارداد آﺗﯽ ﻣﯽﺑﺎﺷﺪ. ﺑﻨﺎﺑﺮاﯾﻦ ﺑﻪ ﮐﻤﮏ ﺗﺼﺮﯾﺢ راﺑﻄﻪ ﻣﯿﺎن ﺳﺮي زﻣﺎﻧﯽ ﻗﯿﻤﺖﻫﺎي ﻧﻘﺪي و آﺗﯽﻫﺎ ﻣﯽﺗﻮان ﻧﺴﺒﺖ ﺑﻬﯿﻨﻪ ﭘﻮﺷﺶ رﯾﺴﮏ را ﻣﺤﺎﺳﺒﻪ ﻧﻤﻮد. از اﯾﻦرو در اﯾﻦ ﻣﻘﺎﻟﻪ، از ﻣﺪلﻫﺎي DCC GARCH،ECM ،OLS و GARCH ﻣﺒﺘﻨﯽ ﺑﺮ ﮐﺎﭘﻮﻻ ﺑﺮاي ﻣﺤﺎﺳﺒﻪ و ﺑﺮرﺳﯽ ﮐﺎراﯾﯽ ﻧﺴﺒﺖ ﺑﻬﯿﻨﻪ ﭘﻮﺷﺶ رﯾﺴﮏ ﺑﺎزار ﻧﻔﺖ ﺧﺎم ﻃﯽ دوره زﻣﺎﻧﯽ 2013-2018 اﺳﺘﻔﺎده ﺷﺪه اﺳﺖ. ﻧﺘﺎﯾﺞ ﻧﺸﺎن ﻣﯽدﻫﻨﺪ ﺑﺰرﮔﺘﺮﯾﻦ ﻣﻘﺪار ﻧﺴﺒﺖ ﺑﻬﯿﻨﻪ ﭘﻮﺷﺶ رﯾﺴﮏ ﻣﺮﺑﻮط ﺑﻪ ﻣﺪل DCC-GARCH و ﺑﺮاﺑﺮ ﺑﺎ 0/805 ﻣﯽﺑﺎﺷﺪ. ﺑﺎ در ﻧﻈﺮ ﮔﺮﻓﺘﻦ درﺻﺪ ﮐﺎﻫﺶ وارﯾﺎﻧﺲ ﻣﯽﺗﻮان ﻧﺘﯿﺠﻪ ﮔﺮﻓﺖ اﺳﺘﺮاﺗﮋيﻫﺎي ﭘﻮﯾﺎي DCC و ﮐﺎﭘﻮﻻ ﻧﺴﺒﺖ ﺑﻪ ﻣﺪلﻫﺎي ﭘﻮﺷﺶ رﯾﺴﮏ اﯾﺴﺘﺎ از ﮐﺎراﯾﯽ ﺑﺎﻻﺗﺮي ﺑﺮﺧﻮردارﻧﺪ. ﻫﻤﭽﻨﯿﻦ ﮐﺎﭘﻮﻻﻫﺎي ﺗﯽ اﺳﺘﯿﻮدﻧﺖ، ﮔﺎﻣﺒﻞ و ﻧﺮﻣﺎل ﻣﺘﻐﯿﺮ ﺑﺎ زﻣﺎن ﻧﺴﺒﺖ ﺑﻪ ﻣﺪل DCC ﻋﻤﻠﮑﺮد ﺑﻬﺘﺮي از ﺧﻮد ﻧﺸﺎن ﻣﯽدﻫﻨﺪ. ﻫﻤﭽﻨﯿﻦ، از ﻣﯿﺎن ﺗﻮاﺑﻊ ﮐﺎﭘﻮﻻي ﻓﻮق، ﺗﺎﺑﻊ ﮐﺎﭘﻮﻻي ﺗﯽاﺳﺘﯿﻮدﻧﺖ داراي ﮐﺎراﯾﯽ ﺑﻬﺘﺮي ﻣﯽﺑﺎﺷﺪ.
چكيده لاتين :
Futures are used as the most important risk hedge tools to reduce the risk of the crude oil market. The optimal hedging risk strategy is determined by calculating the optimal hedging risk ratio. It is important to determine the relationship between the time series of spot prices and futures in calculating the optimal hedging risk ratio. Therefore, in this paper, the OLS, ECM, DCC GARCH and GARCH models based on Copula are used to calculate and evaluate the optimal hedge ratio of spot market hedging risk to the futures market over the period 2018-2013. The results show that the DCC-GARCH model has the highest optimal hedging risk ratio at 0.805. Considering the percentage of variance reduction, it can be concluded that the dynamic strategies of DCC and copula to models Static hedging risk is more efficient. Also, the time-varying, t-student, gamble, and normal capsules show better performance than the DCC model. Also, among the functions mentioned above, the copula t student function has the best performance.
عنوان نشريه :
مدل سازي اقتصاد سنجي
