It is important to study how to minimum the oil price change risk by oil future.The change of oil price is considered as time-varying according to empirical tests and spot price and future price is considered of co-integration.On the light of this,the time-varying hedge ratios is generated using a bivariate error correction model with a GARCH error structure.Out-of-sample tests reveal that this model provides greater risk reduction than that of a constant hedge ratio.