Research on Live Pig Futures Hedging Based on Cornish-Fisher-VaR Method and t-GARCH Model
As a new type of futures contract,the practical effectiveness of hedging and the calculation of hedging ratio for hog futures require in-depth research.This study analyzes the optimal hedging ratio of hog futures using the minimum Cornish-Fisher-VaR method and t-GARCH model.The results show that the price fluctuation in the hog futures market is relatively small,leaving room for further improvement in hedging effectiveness.The modified t-GARCH-VaR hedging method provides flexible hedging ratios at different confidence levels,aligning more with prac-tical hedging decisions.The effectiveness of the modified t-GARCH-VaR hedging method is verified through the anal-ysis of hedging portfolio performance.Finally,further recommendations for hedging hog futures are proposed.
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