Optimal Hedge Ratio estimation: GARCH (1,1) approach, a new model (Estimación óptima de Hedge Ratio: acercamiento de GARCH (1,1), un modelo nuevo)
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 clea...
Main Authors: | García, Angelo, Badii Zabeh, Mohammad Hosein, Rositas, J. |
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Format: | Article |
Language: | Spanish / Castilian |
Published: |
Facultad de Contaduría Pública y Administración U.A.N.L.
2006
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Subjects: | |
Online Access: | http://eprints.uanl.mx/12460/1/A5.pdf |
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