Crack spread hedging: accounting for time‐varying volatility spillovers in the energy futures markets
同时分析原油、取暖油和汽油期货合约，通过多元GARCH模型考虑波动溢出效应，发现时变对冲比率能显著降低能源交易商的价格波动风险，即使计入交易成本也有效。
Abstract Crude oil, heating oil, and unleaded gasoline futures contracts are simultaneously analysed for their effectiveness in reducing price volatility for an energy trader. A conceptual model is developed for a trader hedging the ‘crack spread’. Various hedge ratio estimation techniques are compared to a Multivariate GARCH model that directly incorporates the time to maturity effect often found in futures markets. Modelling of the time‐variation in hedge ratios via the Multivariate GARCH methodology, and thus taking into account volatility spillovers between markets is shown to result in significant reductions in uncertainty even while accounting for trading costs. Copyright © 2002 John Wiley & Sons, Ltd.