학술논문
Optimal Hedge Ratio estimation: GARCH (1,1) approach, a new model
Document Type
article
Author
Source
Innovaciones de Negocios, Vol 3, Iss 2, Pp 227-242 (2006)
Subject
Language
English
Spanish; Castilian
Spanish; Castilian
ISSN
2007-1191
Abstract
An estimation of the Optimal Hedge Ratio on future markets is developed. The methodology incorporates forecasting the volatility and correlation of the spot and future prices using a GARCH (1,1) model, and under these estimations compute the optimal hedge ratio. This document shows a clear example of the methodology, using gold futures to hedge the risk exposure.