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タイトル: Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
著者: Tansuchat, Roengchai
Chang, Chia-Lin
McAleer, Michael
キーワード: Multivariate GARCH
conditional correlations
crude oil prices
optimal hedge ratio
optimal portfolio weights
hedging strategies
JEL Classifications: C22, C32, G11, G17, G32
発行日: 2010年1月
出版者: 日本経済国際共同センター
抄録: The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, 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 and 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 DCC (BEKK) is the best (worst) model for OHR calculation in terms of reducing the variance of the portfolio.
URI: http://hdl.handle.net/2261/33414
その他の識別子: CIRJE-F-704
出現カテゴリ:061 ディスカッションペーパー
Discussion Paper F series (in English)


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