中文摘要：

黄金生产企业进行套期保值的目的是进入期货市场空头来规避所生产黄金价格下降的风险.在制定套期保值策略,利用期货市场进行套期保值的过程中,确定恰当的套期保值比率是取得良好套期保值效果的关键.实证证明在以VaR最小化为目标下,根据Copula-ECM-EGARCH模型的确定的动态套期保值比率是有效的.并通过Copula-BGARCH和ECM-BGARCH模型的比较分析,分析结果表明,Copula-ECM-EGARCH模型的动态套期保值比率的套期保值效果更好,能够为黄金生产企业制定套期保值比率提供一个有效参考.

英文摘要：

The hedging purpose of gold producer is to enter the futures market to hedge the risk of short- fall of the price of gold production. In developing hedging strategies,using futures markets for hedging process,to meet business needs and determine an accurate hedge ratio is the key to have good hedging effect. Empirical proof that in order to minimize the target under VaR,based on the dynamic hedge ratio determined Copula- ECM- EGARCH model was valid. By comparison with the Copula- BGARCH and ECM- BGARCH model,the effect of hedging Copula- ECM- EGARCH model to determine the dynamic hedge ratio better able to provide a valid reference for the development of gold producers hedge ratio.