Optimal Hedge Ratio estimation: GARCH (1,1) approach, a new model
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 o...
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| Formato: | Artículo |
| Lenguaje: | spa |
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Facultad de Contaduría Pública y Administración
2006
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| Acceso en línea: | https://revistainnovaciones.uanl.mx/index.php/revin/article/view/170 |