This paper estimated the hedge ratios of crude oil futures at four kinds of models: ordinary least square(OLS),Bivariate-vector autoregression(B-VAR),error correction model(ECM) and ECM-GARCH model,then compared the hedging performances obtained from different models.The hedge ratios estimated from the ECM-GARCH model is time-varying,this is essentially different from the ones estimated from other models.The findings of this paper indicate that ECM-GARCH model have outstanding hedging performances.