مدل‌سازی متغیر زمانی نسبت بهینه پوشش ریسک با استفاده از قراردادهای آتی: رهیافت ترکیبی توابع کاپولای زوجی و تجزیه موجک

نوع مقاله : علمی - پژوهشی

نویسندگان

1 دانشجوی دکتری مهندسی مالی، دانشگاه آزاد اسلامی، واحد رشت، رشت، ایران.

2 دانشیار گروه مدیریت، دانشگاه گیلان، رشت، ایران

3 استادیار گروه مدیریت، دانشگاه آزاد اسلامی، واحد رشت، رشت، ایران.

چکیده

ساختار وابستگی بازارهای آتی و نقدی برای رسیدن به نسبت بهینه پوشش ریسک از اهمیت بسزایی برخوردار است. بر این اساس، استفاده از روش‌هایی که وابستگی ساختاری در فرکانس‌های تجزیه­شده را در مدل‌سازی در نظر می‌گیرد، می‌تواند موجب رسیدن به نسبت بهینه پوشش ریسک شود. هدف پژوهش حاضر، مدل‌سازی نسبت بهینه پوشش ریسک در بازارهای آتی و نقدی سکه طلا با لحاظ وابستگی ساختاری بر اساس توابع کاپولای زوجی و تجزیه موجک (Wavelet-Copula) به­صورت متغیر زمانی است. برای این منظور از داده‌های بازارهای نقدی و آتی سکه طلا در «بورس اوراق بهادار تهران» طی دوره ابتدای فروردین‌ماه سال 1393 تا ابتدای شهریورماه سال 1397 به­صورت روزانه استفاده شده است. نتایج بررسیِ کارایی متغیر زمانیِ مدل تجزیه موجک، مدل GARCH-Copulaو مدل ترکیبی کاپولای زوجی و تجزیه موجک نشان‌دهنده کارایی بهتر مدل‌های مبتنی بر توابع کاپولای زوجی و تجزیه موجک در افق زمانی میان‌مدت و بلندمدت است.

کلیدواژه‌ها

عنوان مقاله [English]

Time Variable Modeling of The Optimal Hedge Ratio Using Future Contracts: A Combined Approach of Pair-Capula Functions and Wavelet Decomposition

نویسندگان [English]

  • Maryam Borzabadi Farahani 1
  • Mohammad hassan Gholizadeh 2
  • Ebrahim Chirani 3
1 Ph.D. Student in Financial Engineering, Department of Management, Rasht Branch, Islamic Azad University, Rasht, Iran.
2 ** Associate Prof, Department of Management, University of Guilan, Rasht, Iran
3 Assistant Prof, Department of Management, Rasht Branch, Islamic Azad University, Rasht, Iran.
چکیده [English]

The dependency structure of the futures and spot markets is crucial for achieving the optimal hedge ratio. Accordingly, the use of methods that consider the structural dependence on the decomposed frequencies in the modeling can achieve the optimal hedge ratio. The purpose of the this study is to model the optimal hedge ratio in futures and spot markets of gold coin with respect to structural dependence based on wavelet-Copula as time variables. For this purpose, the data of spot and futures markets of gold coins in Tehran Stock Exchange during March 25, 2014 to September 2, 2018 were used in daily time frame The results of time variability wavelet analysis model, GARCH-Copula model, and Combined Pair-Capula Functions and Wavelet Decomposition showed better performance of the models based on Combined Pair-Capula Functions and Wavelet Decomposition in the medium and long term.

کلیدواژه‌ها [English]

  • The Optimal Hedge Ratio
  • Coppola functions
  • Wavelet analysis
  • Future Contracts

مراجع

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