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6GOLD201111/322011－06－12《“”》1982—1211000702008120091282、60、4120OLS、B－VAR、ECHM、GARCHEC－GARCH。F830．94B1001－1277201111－0006－040。、。200819。3。2010679．411．83。3。。1。。11．1OLSOLSΔSt=α+βΔFt+et1β=CovΔStΔFt/VarΔFt2β△St、△Fttαet。。OLS。。ΔSt=Xt－1α+ut3ΔFt=Xt－1β+vt4h|Xt－1=σ^uvσ^2v5hXt－1α、βut、vtσ^2vvtσ^uvut、vt。OLS。201111/327OLS。1．2B－VAROLS。Myers1989B－VARΔSt=Cs+AsiΔSt－i+BsiΔFt－i+Est6ΔFt=Cf+AfiΔSt－i+BfiΔFt－i+Eft7Asi、Afi、Bsi、BfiCs、CfEst、Eft。。VarEft=RffCovEstEft=Rsfh=CovΔStΔFt|ΔSt－iΔFt－iVarΔFt－i|ΔSt－iΔFt－i=RsfRff81．3ECHM。。。Fama1987。1St=a+bFt+μt9ΔSt=αμ^t－1+βΔFt+∑mi=1θiΔSt－i+∑nj=1γjΔFt－j+εt10βabμt、εtαμ^t－1θ、γ。μt0μtd＜1Sowell1992Dueker1998Lien1999。1．4GARCHEC－GARCHOLSOLS。GARCH。GARCH。Baillie1991GARCHΔStΔF[]t=μ1μ[]2+e1te2[]t11et。Ht=H11tH12tH21tH22[]t12tht=H12t|H22t13htH11tH22tH12tH21t。ht。2。55。152008113020081130—200812152009420081216—200911520095。。33．120081200912828、60、4120。200812009620097200912。、、60453015、、2215115。Eviews6．0。3．23．2．1ADFlnzst、lnwttΔlnzst、Δlnwtt1ΔlnzstΔlnwtt。1ADF5%5%－2．129443－0．613264－4．4994－9．014665－8．830935－2．9432－1．252862－0．345475－2．4328－9．634527－7．643239－2．9567－0．837443－1．788634－3．5369－5．209043－7．626397－2．4329－3．209844－1．375496－3．4647－5．287932－4．893435－2．87633．2．20、、12。2Johansen5%1%r≤00．04987219．7836218．1719．14r≤10．0082142．7294354．187．12r≤00．08626918．6215418．1719．14r≤10．0081021．9364674．187．12r≤00．08450219．8726718．1719．14r≤10．0089141．5289234．187．12r≤00．01241518．6735418．1719．14r≤10．0085261．2904874．187．123．2．34。3。3ECHMEC－GARCH。B－VAR、ECHM、。3tR2OLS0．05011．36810．0043683．2763B－VAR0．06281．39860．0209697．4236ECHM0．07231．71020．0698713．6921－0．0186EC－GARCH0．06841．69280．0614709．4297－0．0279OLS0．04971．69840．0126492．3861B－VAR0．02641．51260．1852501．3875ECHM0．04821．67920．1906504．9102－0．0192EC－GARCH0．07512．97360．0719497．8514－0．0298OLS0．12692．89160．0672327．5102B－VAR0．11342．24180．3282368．0124ECHM0．11962．82810．3549375．1876－0．0382EC－GARCH0．16730．19350．1892382．1723－0．0519OLS0．21793．28190．1297148．5602B－VAR0．25813．90450．3857181．0373ECHM0．29766．28760．6193189．2475－0．0874EC－GARCH0．24093．91280．3471172．0591－0．1206OLS、B－VAR、ECHMEC－GARCHOLS0．0501ECHM0．0723B－VAR0．0264EC－GARCH0．0751B－VAR201111/3290．1134EC－GARCH0．1673OLS0．2179ECHM0．2976。。R24。ECHMEC－GARCHR2。OLSB－VARECHMEC－GARCHEC－GARCH。3．2．4Ederington1979=－/。20081200964。4ECHMEC－GARCHOLS。。4OLS0．26410．4774080．6204450．761512B－VAR0．29380．4588160．5395350．759008ECHM0．34790．4773120．584850．739896EC－GARCH0．33210．4202880．665070．773424200972009125。5EC－GARCHOLSB－VAR。。45OLS0．3230590．5039520．7557920．711752B－VAR0．3296040．5013280．6989840．787852ECHM0．3373480．5008720．7274960．784252EC－GARCH0．3352580．6314320．7756800．7973041。。。。。。2、。。R2。。ECHMEC－GARCHOLSB－VAR。1．J．2010944－52．2．EviewsM．2007．3BellDEKraskerWS．EstimatingHegdeRatiosJ．FinacialMan-agement19861534－39．4MyersRJThompsonSR．Generalizedoptimalhedgeratioestima-tionJ．AmericanJournalofAgriculturalEconomics198971858－868．5FamaEFrenchK．CommodityFuturesPricesSomeEridenceontheForecastPowerPremiumsandtheTheoryofStorageJ．JournalofBusiness19876055－73．10GOLD201111/321223421．2．3．3054．。δ34S－12．7‰～17．4‰206Pb/204Pb17．6～21．75207Pb/204Pb15．49～15．76208Pb/204Pb37．14～38．26、。P618．51P597A1001－1277201111－0010－06、。、、。、、。1。5、、、。——1100m。1～3。1。2181m120m190m150mJX040。2011－08－22B07011IRT07551986—21805檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪檪530028EmpiricalstudyonhedgingfunctionofChina'sgoldfuturesmarketXuGuiyangSchoolofEconomicsCapitalUniversityofEconomicsandBusinessAbstractBasedonthegoldfuturescontractsinceJanuary2008toDecember2009listedbyShanghaiFuturesExchangeatotalof82weeklydata60ten-daysdata41biweeklydataand20four-weeksdataoffuturespricesandspotpricesareanalyzedusingthetraditionalregressionmodelOLStwo-variablevectorautoregressionmodelB-VARerrorcorrectionhedgingmodelECManderrorcorrectionGARCHmodelEC-GARCH．Thesmoothandco-integrationrelationofthesampledataaretested．Basedontheestimationofminimumriskhedgingratioandcon-siderationofthefuturesmarkethedgingstrategythefurtherexplorationofthehedgingfunctionofgoldfuturesmarketinChinaisdiscussed．Keywordsgoldfuturesmarkethedgingco-integrationanalysiserrorcorrection