Testing for Constant Hedge Ratios in Commodity Markets: A Multivariate GARCH Approach

dc.contributor.author Moschini, GianCarlo
dc.contributor.author Myers, Robert
dc.contributor.author Moschini, Giancarlo
dc.contributor.department Center for Agricultural and Rural Development
dc.date 2018-02-16T13:00:25.000
dc.date.accessioned 2020-06-30T01:03:41Z
dc.date.available 2020-06-30T01:03:41Z
dc.date.embargo 2015-06-14
dc.date.issued 2001-03-01
dc.description.abstract <p>The authors develop a new multivariate GARCH parameterization that is suitable for testing the hypothesis that the optimal futures hedge ratio is constant over time, given that the joint distribution of cash and futures prices is characterized by autoregressive conditional heteroskedasticity. The advantage of the new parameterization is that it allows for a flexible form of time-varying volatility, even under the null of a constant hedge ratio. The model is estimated using weekly corn prices. Statistical tests reject the null hypothesis of a constant hedge ratio and also reject the null that time variation in optimal hedge ratios can be explained solely by deterministic seasonality and time-to-maturity effects.</p>
dc.identifier archive/lib.dr.iastate.edu/card_workingpapers/291/
dc.identifier.articleid 1294
dc.identifier.contextkey 7213964
dc.identifier.s3bucket isulib-bepress-aws-west
dc.identifier.submissionpath card_workingpapers/291
dc.identifier.uri https://dr.lib.iastate.edu/handle/20.500.12876/12622
dc.source.bitstream archive/lib.dr.iastate.edu/card_workingpapers/291/01wp268.pdf|||Fri Jan 14 23:14:29 UTC 2022
dc.subject.disciplines Agricultural and Resource Economics
dc.subject.disciplines Agricultural Economics
dc.subject.disciplines Finance
dc.subject.keywords : autoregressive conditional heteroskedasticity
dc.subject.keywords futures
dc.subject.keywords hedging
dc.title Testing for Constant Hedge Ratios in Commodity Markets: A Multivariate GARCH Approach
dc.type article
dc.type.genre article
dspace.entity.type Publication
relation.isAuthorOfPublication 875efd32-d51f-480d-8d4b-3d87da3f2678
relation.isOrgUnitOfPublication 1a6be5f1-4f64-4e48-bb66-03bbcc25c76d
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