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...

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Bibliographic Details
Main Authors: García, Angelo, Badii Zabeh, Mohammad Hosein, Rositas, J.
Format: Article
Language:Spanish / Castilian
Published: Facultad de Contaduría Pública y Administración U.A.N.L. 2006
Subjects:
Online Access:http://eprints.uanl.mx/12460/1/A5.pdf

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