Short-run deviations and time-varying hedge ratios: evidence from agricultural futures markets
Choudhry, Taufiq (2009) Short-run deviations and time-varying hedge ratios: evidence from agricultural futures markets. International Review of Financial Analysis, 18, (1-2), 58-65. (doi:10.1016/j.irfa.2008.11.003).
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This paper investigates the hedging effectiveness of time-varying hedge ratios in the agricultural commodities futures markets using four different versions of the GARCH models. The GARCH models applied are the standard bivariate GARCH, the bivariate BEKK GARCH, the bivariate GARCH-X and the bivariate BEKK GARCH-X. Futures data for corn, coffee, wheat, sugar, soybeans, live cattle and hogs are applied. Comparison of the hedging effectiveness is done for the within sample period (1980–2004), and two out-of-sample periods (2002–2004 and 2003–2004). Results indicate superior performance of the portfolios based on the GARCH-X model estimated hedge ratio during all periods.
|Digital Object Identifier (DOI):||doi:10.1016/j.irfa.2008.11.003|
|Keywords:||hedge ratio, garch, bekk garch, garch-x, bekk garch-x and variance|
|Subjects:||H Social Sciences > HG Finance
H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
H Social Sciences > HA Statistics
|Divisions :||University Structure - Pre August 2011 > School of Management
|Accepted Date and Publication Date:||
|Date Deposited:||16 Jan 2009|
|Last Modified:||31 Mar 2016 12:49|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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