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Estimating the Optimal Rate of Risk Hedge and the Difference that Optimal Hedging Makes in the Natural Gas Market
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Zahra Ansari ardali *   1, Mir hooseyn Musavi2 , Hamid Kordbacheh2 |
1- alzahra university , Zansari1609@gmail.com
2- alzahra university |
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Abstract: (4090 Views) |
One characteristic of natural gas markets is frequent price swings, which create a price risk that needs to be managed through appropriate hedging strategies. This study attempts to estimate an optimal hedging option. We use the information provided by the stock exchange for future contracts of between one and four months for the period 2000-2016. We apply the OLS, VECM -GARCH and BEKK-GARCH methods to compare the risk born with or without hedging using futures contracts. We find that the use of futures contracts is justified. We notice that the longer the time frame of future contracts, dynamic models suggest an increased rate of hedging.
JEL Classification: A23, Q5, B22, T96 |
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| Keywords: futures, hedge rate risk, effectiveness, econometric models OLS, VECM -GARCH and BEKK-GARCH. |
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Full-Text [PDF 852 kb]
(1552 Downloads)
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Type of Study: paper |
Subject:
Energy Economic
Received: 2016/12/18 | Accepted: 2017/05/22 | Published: 2017/09/20 | ePublished: 2017/09/20
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