Proceedings of the 2025 7th International Conference on Economic Management and Cultural Industry (ICEMCI 2025)

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A Study on the Hedging Effectiveness of Copper Futures Based on the Copula-GJR-VAR Model and the ARIMA-GARCH Model

Authors
Shiying Huang1, Jiayi Liang1, Baojia Huang1, Haohua Liang1, *, Yao Zhang2
1School of Accounting and Finance, Beijing Institute of Technology, Zhuhai, China
2School of Economics, Jinan University, Guangzhou, China
*Corresponding author. Email: 358179725@qq.com
Corresponding Author
Haohua Liang
Available Online 3 December 2025.
DOI
10.2991/978-94-6463-888-2_15How to use a DOI?
Keywords
Futures; Hedging; Econometrics
Abstract

As a key industrial material, copper plays a critical role in numerous production and business activities. Its price volatility poses significant risks to enterprises, particularly in the absence of effective tools to manage uncertainty. This study focuses on the optimal hedge ratio of copper futures. Using return data from copper futures and spot markets during the period from 2020 to 2025, we employ both the Copula-GJR-VAR model and the ARIMA-DCC-GARCH model to estimate the hedge ratios. Comparative analysis reveals that the Copula-GJR-VAR model more effectively captures the asymmetric volatility and tail dependence structure between the copper futures and spot markets. Furthermore, it demonstrates superior performance in terms of hedging effectiveness.

Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2025 7th International Conference on Economic Management and Cultural Industry (ICEMCI 2025)
Series
Advances in Economics, Business and Management Research
Publication Date
3 December 2025
ISBN
978-94-6463-888-2
ISSN
2352-5428
DOI
10.2991/978-94-6463-888-2_15How to use a DOI?
Copyright
© 2025 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Shiying Huang
AU  - Jiayi Liang
AU  - Baojia Huang
AU  - Haohua Liang
AU  - Yao Zhang
PY  - 2025
DA  - 2025/12/03
TI  - A Study on the Hedging Effectiveness of Copper Futures Based on the Copula-GJR-VAR Model and the ARIMA-GARCH Model
BT  - Proceedings of the 2025 7th International Conference on Economic Management and Cultural Industry (ICEMCI 2025)
PB  - Atlantis Press
SP  - 126
EP  - 136
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-888-2_15
DO  - 10.2991/978-94-6463-888-2_15
ID  - Huang2025
ER  -