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http://krishi.icar.gov.in/jspui/handle/123456789/42765
Title: | Econometric modeling for optimal hedging in commodity futures: An empirical study of soybean trading |
Other Titles: | Not Available |
Authors: | R.K. Paul S.P. Bhardwaj |
ICAR Data Use Licennce: | http://krishi.icar.gov.in/PDF/ICAR_Data_Use_Licence.pdf |
Author's Affiliated institute: | ICAR::Indian Agricultural Statistics Research Institute |
Published/ Complete Date: | 2016-03-01 |
Project Code: | Not Available |
Keywords: | Optimal hedge ratio Kalman filter Time varying coefficient models |
Publisher: | Not Available |
Citation: | Not Available |
Series/Report no.: | Not Available; |
Abstract/Description: | The optimal hedge ratio (OHR) is basically based on the coefficient of the regression between the change in the spot prices and the change in price of the hedging instrument. The traditional constant hedge ratio based on the ordinary least square (OLS) technique has been avoided by the researchers being an inappropriate; it ignores the heteroscedasticity which often exists in price series. In other words, the hedge ratios will certainly vary over time as the conditional distribution between cash and futures prices changes. It has been recognized that time varying coefficient (TVC) model outperforms the static coefficient (SC). As an illustration, the future and spot price of Soybean have been considered for the contracts maturing in December, 2011; June, 2012; December, 2013; April, 2013. The hedge ratio has been estimated for all the contracts by using OLS method, GARCH-BEKK, GARCH-VECH and Kalman filter methodology. |
Description: | Not Available |
ISSN: | Not Available |
Type(s) of content: | Research Paper |
Sponsors: | Not Available |
Language: | English |
Name of Journal: | Economic Affairs |
NAAS Rating: | 5.08 |
Volume No.: | 61(3) |
Page Number: | 447-453 |
Name of the Division/Regional Station: | Not Available |
Source, DOI or any other URL: | 10.5958/0976-4666.2016.00056.5 |
URI: | http://krishi.icar.gov.in/jspui/handle/123456789/42765 |
Appears in Collections: | AEdu-IASRI-Publication |
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