The Role of Long Memory in Hedging Strategies for Canadian Commodity Futures

This paper investigates whether InterContenental Exchange (ICE) futures contracts are an effective and affordable method of managing price risk for Canadian commodity producers. Long memory in volatility is found to be present in cash and futures prices for canola and western barley. Long memory is incorporated into the hedging strategy by estimating hedge ratios using a FIAPARCH model. Findings indicate that ICE futures contracts for canola are an effective and affordable means of reducing price risk while western barley producers should consider alternative means of managing price risk.


Editor(s):
Epperson, James
Escalante, Cesar
Issue Date:
2012-2012-2012
Publication Type:
Journal Article
ISSN:
0738-8950
Language:
English
Published in:
Journal of Agribusiness, Volume 30, Number 2
Page range:
201-224




 Record created 2017-07-19, last modified 2017-08-29

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