Estimation of Constant and Time-varying Optimal Hedge Ratio and Hedging Effectiveness in the Natural gas Futures Market

Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān

关键词: Futures market;    Hedge ratio;    Hedge effectiveness;    Natural Gas;    Multivariate GARCH;   

DOI  :  

来源: DOAJ

【 摘 要 】

One of the most important roles of a futures market is to provide the means of risk reduction. Optimal hedge strategy is determined via calculation of the hedge ratio. Estimation of hedge ratio and hedging effectiveness depend on correct specification of relation between spot and futures prices. Thus in this paper hedge ratio is estimated for the natural gas futures market by different methods e.g. OLS, VAR, VECM, and GARCH and their effectiveness is compared. In GARCH method, hedge ratio is time-varying so the time series of hedge ratio are estimated while the in other methods a fixed hedge ratio is estimated. Results show that GARCH hedge ratio has higher effectiveness rather than other methods and the effectiveness of other methods are ranked as: VECM, OLS and VAR respectively.

【 授权许可】

Unknown