Optimal Hedge Ratios at the Winnipeg Commodity Exchange

Multivariate GARCH models are employed to estimate time-varying hedge ratios for three commodities traded on the Winnip eg Commodity Exchange. GARCH hedge ratios are shown to be superior to those based on the traditional regression approach to calculating th e optimal hedge.

[1]  Sam Ouliaris,et al.  Testing for cointegration using principal components methods , 1988 .

[2]  P. Phillips.  Testing for a Unit Root in Time Series Regression , 1988 .

[3]  J. MacKinnon,et al.  Specification Tests Based on Artificial Regressions , 1990 .

[4]  Bronwyn H Hall,et al.  Estimation and Inference in Nonlinear Structural Models , 1974 .

[5]  S. Johansen.  STATISTICAL ANALYSIS OF COINTEGRATION VECTORS , 1988 .

[6]  Whitney K. Newey,et al.  Maximum Likelihood Specification Testing and Conditional Moment Tests , 1985 .

[7]  Trevor Breusch,et al.  Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models , 1988 .

[8]  George Tauchen.  Diagnostic testing and evaluation of maximum likelihood models , 1985 .

[9]  J. Stock,et al.  INFERENCE IN LINEAR TIME SERIES MODELS WITH SOME UNIT ROOTS , 1990 .

[10]  Robert J. Myers,et al.  Generalized Optimal Hedge Ratio Estimation , 1988 .

[11]  C. Granger,et al.  Co-integration and error correction: representation, estimation and testing , 1987 .

[12]  T. Bollerslev,et al.  Generalized autoregressive conditional heteroskedasticity , 1986 .

[13]  R. Engle.  Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .

[14]  James G. MacKinnon,et al.  Critical Values for Cointegration Tests , 1990 .

[15]  Robert J. Myers,et al.  Bivariate garch estimation of the optimal commodity futures Hedge , 1991 .

[16]  J. Wooldridge,et al.  A Capital Asset Pricing Model with Time-Varying Covariances , 1988, Journal of Political Economy.

[17]  Robert F. Engle,et al.  Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market , 1988 .

[18]  R. Chou,et al.  ARCH modeling in finance: A review of the theory and empirical evidence , 1992 .

[19]  K. Juselius.  Long—run relations in a well—defined statistical model for the data generating process. Cointegration analysis of the PPP and the UIP relations for Denmark and Germany , 1990 .

[20]  Stephen Figlewski,et al.  Estimation of the Optimal Futures Hedge , 1988 .

[21]  Grayham E. Mizon,et al.  Cointegration and Error Correction Mechanisms , 1989 .