Time-Varying Optimal Hedge Ratio for Brent Oil Market
Mohsen Mehrara, Monire Hamldar, University of Tehran, Iran (Islamic Republic Of)
ILSHS Volume 56, ISSN 2300-2697
This paper examines the optimal hedging ratio (OHR) for the Brent Crude Oil Futures using daily data over the period 1990/17/8-2014/11/3. To estimate OHR, we employ multivariate BEKK MV-GARCH model. At last, the efficiency of this approach are compared with the constant OHR captured from OLS through Edrington's index.
Mehrara, M. & Hamldar, M. (2015). Time-Varying Optimal Hedge Ratio for Brent Oil Market. International Letters of Social and Humanistic Sciences, 56, 103-106.