CAJ | 학술논문

利用非对称BEKK模型对C3和C5航线最优套期保值比率进行了估计,并与静态套期保值模型（OLS模型、B-VAR模型、B-VEC模型）以及其他动态套期保值模型（DVEC、对角BEKK模型）的结果进行比较。针对现有套期保值模型的绩效评价缺陷进行了改进。结果表明,从C3和C5模型下的套期保值比率来看,静态套期保值模型中OLS的套期保值比率最大,动态模型中非对称BEKK的动态套期保值比率最大。从C3和C5航线的套期保值效率比较,结果表明,用非对称BEKK模型来计算最优套期保值比率最合适,有效性最高,更接近于现实。
이용비대칭BEKK모형대C3화C5항선최우투기보치비솔진행료고계,병여정태투기보치모형（OLS모형、B-VAR모형、B-VEC모형）이급기타동태투기보치모형（DVEC、대각BEKK모형）적결과진행비교。침대현유투기보치모형적적효평개결함진행료개진。결과표명,종C3화C5모형하적투기보치비솔래간,정태투기보치모형중OLS적투기보치비솔최대,동태모형중비대칭BEKK적동태투기보치비솔최대。종C3화C5항선적투기보치효솔비교,결과표명,용비대칭BEKK모형래계산최우투기보치비솔최합괄,유효성최고,경접근우현실。
This article has estimated the optimal hedging ratio of C3 and C5routes with asymmetric BEKK model,compared with the results of static hedging model（OLS model,B-VAR model and VEC model B）and other dynamic hedging model（DVEC and diagonal BEKK models）,and improved the deficiency in performance evaluation of the existing hedging model.The results show that in terms of the hedging ratio of C3 and C5models,the OLS hedging ratio of static hedging model is the largest,and asymmetrical BEKK dynamic hedging ratio of the dynamic model is the largest.Comparing the hedging efficiency of C3 and C5routes,the results show that asymmetric BEKK models can be used to calculate the optimal hedging ratio,which is the most appropriate,of highest effectiveness,and closer to the reality.