CAJ | 학술논문

伴随着经济结构转型和资源结构调整，煤炭市场遭遇寒冬，煤炭期货套期保值也备受关注。在对两种主要煤炭期货———动力煤期货和焦炭期货的基本套期保值现状进行对比的基础上，利用GARCH模型对两种期货收益率方差进行预测，同时利用EWMA模型对其现货收益率方差进行预测，最后利用最小方差的Copula模型对两者的套期保值比率进行确定，并对比性评价了两者的套期保值效率，以此为处于困境中的煤炭企业提供方向指导和建议。
반수착경제결구전형화자원결구조정，매탄시장조우한동，매탄기화투기보치야비수관주。재대량충주요매탄기화———동력매기화화초탄기화적기본투기보치현상진행대비적기출상，이용GARCH모형대량충기화수익솔방차진행예측，동시이용EWMA모형대기현화수익솔방차진행예측，최후이용최소방차적Copula모형대량자적투기보치비솔진행학정，병대비성평개료량자적투기보치효솔，이차위처우곤경중적매탄기업제공방향지도화건의。
With the transformation of economic structure and the adjustment of resource structure,coal market was gloomy,and coal futures hedging has attracted a lot of attention.On the base of the basic comparison and hedg-ing status on two major coal futures—power coal futures and coke futures,this paper finally determined the hedging ratio of minimum variance with the model of Copula,using GARCH model to predict futures return variance and u-sing EWMA to predict spot return variance.With the comparison and evaluation of hedging efficiency of the two,this paper put forward direction for guidance and recommendations to those coal enterprises introuble especially many coal enterprises in Shanxi province.