Optimal Hedging Model Based on Gibbs Sampling

Abstract

For estimating the optimal hedging model of futures and possible risks, In this paper, we use the static method of ordinary least squares model (OLS model) and dynamic generalized autoregressive conditional heteroskedasticity model (GARCH model) to analysis. And based on the Gibbs sampling method to make empirical analysis of the rebar futures market’s optimal hedging model. The results show that dynamic hedging is better than static hedging, Statistical model based on the Gibbs sampling better than the average frequency. Finally, according to the analysis results, this paper gives some suggestions for the future hedging of rebar futures.