scholarly journals Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH

2010 ◽  
Author(s):  
Roengchai Tansuchat ◽  
Chia-Lin Chang ◽  
Michael McAleer
Keyword(s):  
Crude Oil ◽  
Multivariate Garch ◽  
Hedging Strategies

scholarly journals Crude oil hedging strategies using dynamic multivariate GARCH

2011 ◽  
Vol 33 (5) ◽  
pp. 912-923 ◽  
Author(s):  
Chia-Lin Chang ◽  
Michael McAleer ◽  
Roengchai Tansuchat
Keyword(s):  
Crude Oil ◽  
Multivariate Garch ◽  
Hedging Strategies

Price and volatility transmission in, and between, skimmed milk powder, livestock feed and oil markets

2017 ◽  
Vol 46 (4) ◽  
pp. 248-257 ◽  
Author(s):  
Dennis Bergmann ◽  
Declan O’Connor ◽  
Andreas Thümmel
Keyword(s):  
Crude Oil ◽  
Milk Powder ◽  
Multivariate Garch ◽  
Volatility Transmission ◽  
Crude Oil Prices ◽  
Multivariate Garch Model ◽  
Oil Markets ◽  
Skimmed Milk ◽  
Derivative Markets ◽  
Skimmed Milk Powder

Price and volatility transmission effects between European Union (EU) and World skimmed milk powder (SMP) prices, as well as those between both SMP series, soybeans and crude oil prices from 2004 to 2014 were analysed using a vector error correction model combined with a multivariate GARCH model. The results show significant transmission effects between EU and World SMP prices, but no significant transmission effects from soybeans or crude oil to either of the SMP prices. For policymakers and modellers, these results indicate the need to consider World SMP prices when considering EU prices. On the other hand, the finding of no transmission effects from soybean to SMP prices reduces the opportunity for a successful cross-hedging for dairy commodities using well-established soybean derivative markets.

scholarly journals Currency Hedging Strategies Using Dynamic Multivariate GARCH

2012 ◽  
Author(s):  
Chia-Lin Chang ◽  
Lydia González Serrano ◽  
Juan-Angel Jiménez-Martin
Keyword(s):  
Multivariate Garch ◽  
Currency Hedging ◽  
Hedging Strategies

OIL, UNCERTAINTY, AND GASOLINE PRICES

2016 ◽  
Vol 22 (3) ◽  
pp. 546-561 ◽  
Author(s):  
Dongfeng Chang ◽  
Apostolos Serletis
Keyword(s):  
Crude Oil ◽  
The United States ◽  
Oil Price ◽  
Multivariate Garch ◽  
Gasoline Prices ◽  
Price Uncertainty ◽  
Structural Vector Autoregression ◽  
Alternative Measures ◽  
The Relationship ◽  
Positive Effect

In this paper we investigate the relationship between crude oil and gasoline prices and also examine the effect of oil price uncertainty on gasoline prices. The empirical model is based on a structural vector autoregression that is modified to accommodate multivariate GARCH-in-Mean errors. We use monthly data for the United States over the period from January 1976 to September 2014. We find that there is an asymmetric relationship between crude oil and gasoline prices, and that oil price uncertainty has a positive effect on gasoline price changes. Our results are robust to alternative model specifications and alternative measures of the price of oil.

scholarly journals Currency Risk Hedging With Time-Varying Correlations

2011 ◽  
Vol 1 (4) ◽  
Author(s):  
Binbin Guo
Keyword(s):  
Foreign Currency ◽  
Dynamic Structure ◽  
Multivariate Garch ◽  
Time Varying ◽  
Currency Risk ◽  
Risk Hedging ◽  
Hedging Strategies ◽  
Multivariate Garch Model ◽  
The Us ◽  
Optimal Dynamic

<p class="MsoNormal" style="text-align: justify; margin: 0in 0.5in 0pt;"><span style="font-family: Times New Roman; font-size: x-small;">This paper studies currency risk hedge when volatilities and correlations of forward currency contracts and underlying assets returns are all time-varying.<span style="mso-spacerun: yes;">&nbsp; </span>A multivariate GARCH model with time-varying correlations is adopted to fit the dynamic structure of the conditional volatilities and correlations. The conditional risk-minimizing hedge strategies are estimated for an international portfolio of the US, UK and Switzerland stocks, for the period of February of 1973 to March of 2002. The empirical results show that the optimal dynamic hedging strategies can capture partially the currency fluctuations, and greatly reduce the currency risk and enhance the risk-adjusted returns of the portfolio with significant foreign currency exposures. </span></p>

scholarly journals Forecasting the Covolatility of Coffee Arabica and Crude Oil Prices: A Multivariate GARCH Approach with High-Frequency Data

2020 ◽  
Vol 2020 ◽  
pp. 1-10
Author(s):  
Dawit Yeshiwas ◽  
Yebelay Berelie
Keyword(s):  
Crude Oil ◽  
High Frequency ◽  
Realized Volatility ◽  
Multivariate Garch ◽  
High Frequency Data ◽  
Frequency Data ◽  
Asset Return ◽  
Coffee Arabica ◽  
Forecasting Performance ◽  
Intraday Data

Forecasting the covolatility of asset return series is becoming the subject of extensive research among academics, practitioners, and portfolio managers. This paper estimates a variety of multivariate GARCH models using weekly closing price (in USD/barrel) of Brent crude oil and weekly closing prices (in USD/pound) of Coffee Arabica and compares the forecasting performance of these models based on high-frequency intraday data which allows for a more precise realized volatility measurement. The study used weekly price data to explicitly model covolatility and employed high-frequency intraday data to assess model forecasting performance. The analysis points to the conclusion that the varying conditional correlation (VCC) model with Student’s t distributed innovation terms is the most accurate volatility forecasting model in the context of our empirical setting. We recommend and encourage future researchers studying the forecasting performance of MGARCH models to pay particular attention to the measurement of realized volatility and employ high-frequency data whenever feasible.

CURRENCY HEDGING STRATEGIES USING MULTIVARIATE GARCH MODELS

2016 ◽  
Vol 78 (4-4) ◽  
Author(s):  
Muhammad Azri Mohd ◽  
Abdul Halim Mohd Nawawi ◽  
Siti Aida Sheikh Hussin ◽  
Siti Nurul Ain Ramdzan
Keyword(s):  
Exchange Rates ◽  
Multivariate Garch ◽  
Hedging Strategy ◽  
Currency Hedging ◽  
Forward Markets ◽  
Futures Contract ◽  
Hedging Strategies ◽  
Multivariate Garch Models ◽  
Japanese Yen ◽  
Optimal Hedge

Hedging on futures or forward markets is an important tool to reduce risk. Thus, in order to manage the currency risk, it is important to have a suitable hedging strategy. Hedging is a means to offset potential losses on investment by making the second investment, which is expected to move in the opposite way in the financial markets. Therefore, this study aims to identify the relationship between spot and futures contract exchange rates and spot and forwards contract exchange rates. Secondly, calculate the optimal hedge ratio in order for effective optimal portfolio design and hedging strategy using CCC, DCC and Diagonal-BEKK models. The data consist of daily closing prices of spot, futures and 3-month forwards contract for currencies within ASEAN and ASEAN+3 countries. The empirical results revealed that the best model for hedging effectiveness is found to be CCC and DCC. These two models are able to reduce the variance 59.64 percent for Japanese Yen, 97.42 percent for Malaysia Ringgit, 66.14 percent for Singapore Dollar and 93.42 for Philippine Peso. Hence, it can be suggested to investors to hedge Malaysia Ringgit since the currency has the highest reduction in risk.

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