Crude oil hedging strategies using dynamic multivariate GARCH

被引:221
作者
Chang, Chia-Lin [1 ,2 ]
McAleer, Michael [3 ,4 ,5 ]
Tansuchat, Roengchai [6 ]
机构
[1] Natl Chung Hsing Univ, Dept Appl Econ, Taichung 40227, Taiwan
[2] Natl Chung Hsing Univ, Dept Finance, Taichung 40227, Taiwan
[3] Erasmus Univ, Erasmus Sch Econ, Inst Econometr, Rotterdam, Netherlands
[4] Tinbergen Inst, Amsterdam, Netherlands
[5] Kyoto Univ, Inst Econ Res, Kyoto 6068501, Japan
[6] Maejo Univ, Fac Econ, Chiang Mai, Thailand
基金
日本学术振兴会; 澳大利亚研究理事会;
关键词
Multivariate GARCH; Conditional correlations; Crude oil prices; Optimal hedge ratio; Optimal portfolio weights; Hedging strategies; AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; FUTURES MARKET-EFFICIENCY; COINTEGRATION VECTORS; ASYMPTOTIC THEORY; GENERALIZED ARCH; VOLATILITY; MODEL; RATIOS; CONTRACTS;
D O I
10.1016/j.eneco.2011.01.009
中图分类号
F [经济];
学科分类号
02 ;
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.
引用
收藏
页码:912 / 923
页数:12
相关论文
共 48 条
[1]   Hedging against bunker price fluctuations using petroleum futures contracts: constant versus time-varying hedge ratios [J].
Alizadeh, AH ;
Kavussanos, MG ;
Menachof, DA .
APPLIED ECONOMICS, 2004, 36 (12) :1337-1353
[2]  
[Anonymous], J FINAN
[3]   BIVARIATE GARCH ESTIMATION OF THE OPTIMAL COMMODITY FUTURES HEDGE [J].
BAILLIE, RT ;
MYERS, RJ .
JOURNAL OF APPLIED ECONOMETRICS, 1991, 6 (02) :109-124
[4]   Multivariate GARCH models: A survey [J].
Bauwens, L ;
Laurent, S ;
Rombouts, JVK .
JOURNAL OF APPLIED ECONOMETRICS, 2006, 21 (01) :79-109
[5]  
Bhar R., 2008, INT REV FINANC ANAL, V17, P971
[6]   A CAPITAL-ASSET PRICING MODEL WITH TIME-VARYING COVARIANCES [J].
BOLLERSLEV, T ;
ENGLE, RF ;
WOOLDRIDGE, JM .
JOURNAL OF POLITICAL ECONOMY, 1988, 96 (01) :116-131
[8]   GENERALIZED AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY [J].
BOLLERSLEV, T .
JOURNAL OF ECONOMETRICS, 1986, 31 (03) :307-327
[9]  
Bollerslev T., 1992, Econometric Rev., V11, P143, DOI [DOI 10.1080/07474939208800229, 10.1080/07474939208800229]
[10]  
CAPORIN M, 2009, DO WE REALLY NEED BO