原创力文档基于多元garch模型的电力期货动态ohr实证研究 empirical research on dynamic ohr about electricity futures based on multivariate garch models.pdfVIP
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基于多元garch模型的电力期货动态ohr实证研究 empirical research on dynamic ohr about electricity futures based on multivariate garch models
第37卷第11期 凳幕电力 V01．37NO．11
EastChina Power
2009年11月 EJectric NOV．2009
基于多元GARCH模型的电力期货
动态OHR实证研究
戴秦1’。，孙碧波3，施泉生2，严广乐1
(1．上海理工大学管理学院，上海200093；2．上海电力学院经济管理系，上海200090：
3．复旦大学博弈论与数量经济研究中心，上海200433)
摘要：介绍了近年来国内外学者对引入电力期货套期保值的研究和不同观点。基于BEEKGARCH模型，以
发电企业为例构建了风险最小化目标下的动态套期保值模型。对欧洲能源交易所近年数据的实证研究表明，
电力期货动态套期保值可以有效控制电价风险，但由于电力市场的价格发现功能不足，其有效性是有限的。
关键词：电力期货；价格波动；风险控制；套期保值；OHR
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