請用此 Handle URI 來引用此文件: http://hdl.handle.net/11455/45478
標題: Crude oil hedging strategies using dynamic multivariate GARCH
作者: Chang, Chia-Lin
McAleer, Michael
Tansuchat, Roengchai
關鍵字: Multivariate GARCH
Conditional correlations
Crude oil prices
Optimal
hedge ratio
Optimal portfolio weights
Hedging strategies
autoregressive conditional heteroskedasticity
futures
market-efficiency
cointegration vectors
generalized arch
volatility
models
摘要: The paper examines the performance of several multivariate volatility models, namely CCC, VARMA-GARCH, DCC, BEKK and diagonal BERK, for the crude oil spot and futures returns of two major benchmark international crude oil markets, Brent and WTI, to calculate optimal portfolio weights and optimal hedge ratios, and to suggest a crude oil hedge strategy. The empirical results show that the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger proportions than spot. For WTI, however, DCC, BM and diagonal BEKK suggest holding crude oil futures to spot, but CCC and VARMA-GARCH suggest holding crude oil spot to futures. In addition, the calculated optimal hedge ratios (OHRs) from each multivariate conditional volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one dollar long in crude oil spot. Finally, the hedging effectiveness indicates that diagonal BEKK (BEKK) is the best (worst) model for OHR calculation in terms of reducing the variance of the portfolio. (C) 2011 Elsevier B.V. All rights reserved.
URI: http://hdl.handle.net/11455/45478
ISSN: 0140-9883
顯示於類別:應用經濟學系

文件中的檔案:
沒有與此文件相關的檔案。


在 DSpace 系統中的文件,除了特別指名其著作權條款之外,均受到著作權保護,並且保留所有的權利。