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AgEcon Search >
Organizações Rurais e Agroindustriais/Rural and Agro-Industrial Organizations >
Volume 08, Number 1, January/April 2006 >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/43828
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| Title: | HEDGE DINÂMICOS: UMA EVIDÊNCIA PARA OS CONTRATOS FUTUROS BRASILEIROS |
| Other Titles: | DYNAMIC HEDGE: an evidence for brazilian future contracts |
| Authors: | Bitencourt, Wanderci Alves
Silva, Washington Santos
Safadi, Thelma |
| Authors (Email): | Bitencourt, Wanderci Alves (wab@ufla.br)
Silva, Washington Santos (wss@fuom.br)
Safadi, Thelma (safadi@ufla.br) |
| Keywords: | Hedge optimal ratio
GARCH BEKK model
regression |
| Issue Date: | 2006-01-02 |
| Abstract: | The farming sector is changing, growing and occupying a position of prominence in the economy. These transformations start to
demand a bigger concern with the management of risks of the activity. In this direction, the contracts traded at BM&F had become
efficient instruments in the reduction of the market risk, through an operation called hedge. However, there is still the necessity of
improving of the econometrical techniques for the estimation of the optimal hedge ratio, therefore, it is observed in the brazilian
literature that the majority of the works doesn’t consider some aspects of the behavior of the series of returns. Thus, the present work
seeks to analyze two methods for the calculation of these hedge optimal ratio, the conventional model of regression and the bivariate
GARCH BEKK model that considers the conditional correlations of the series. The preliminary analysis of the results indicates that
the hedge optimal ratio is not constant through time, suggesting that the use of models that consider the time dependence of the series
is more realistic. The methodology is applied to the prices of the beef cattle commodity. |
| URI: | http://purl.umn.edu/43828 |
| Institution/Association: | Organizações Rurais e Agroindustriais/Rural and Agro-Industrial Organizations>Volume 08, Number 1, January/April 2006 |
| Total Pages: | 8 |
| From Page: | 71 |
| To Page: | 78 |
| Collections: | Volume 08, Number 1, January/April 2006
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| Artigo (6) 05.200.pdf | | 373Kb | PDF | View/Open |
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