%0 Journal Article
%T Application of futures in calculating optimal hedge ratio in crude oil market:
Comparison between static and dynamic approaches
%J Journal of Econometric Modelling
%I Semnan University
%Z 2345-654X
%A Aleali, Simin
%A Abounoori, Abbas Ali
%A Emamverdi, Ghodratollah
%A Ghiasvand, Abolfazl
%D 2020
%\ 05/21/2020
%V 5
%N 2
%P 65-93
%! Application of futures in calculating optimal hedge ratio in crude oil market:
Comparison between static and dynamic approaches
%K Hedging Risk
%K Future contract
%K Minimum variance
%K Copula
%R 10.22075/jem.2020.19144.1394
%X Futures are used as the most important risk hedge tools to reduce the risk of the crude oil market. The optimal hedging risk strategy is determined by calculating the optimal hedging risk ratio. It is important to determine the relationship between the time series of spot prices and futures in calculating the optimal hedging risk ratio. Therefore, in this paper, the OLS, ECM, DCC GARCH and GARCH models based on Copula are used to calculate and evaluate the optimal hedge ratio of spot market hedging risk to the futures market over the period 2018-2013. The results show that the DCC-GARCH model has the highest optimal hedging risk ratio at 0.805. Considering the percentage of variance reduction, it can be concluded that the dynamic strategies of DCC and copula to models Static hedging risk is more efficient. Also, the time-varying, t-student, gamble, and normal capsules show better performance than the DCC model. Also, among the functions mentioned above, the copula t student function has the best performance.
%U https://jem.semnan.ac.ir/article_4561_16c86add76b1628e13ce9ddbe842dce3.pdf