Optimal Hedging Ratios for Wheat and Barley at the LIFFE: A GARCH Approach
使用多元GARCH模型估计小麦和大麦期货合约的时变套期保值比率，发现该比率随时间变化，且相比无套期保值和恒定套期保值，能显著降低风险。
Over 100,000 futures contracts for cereals are traded annually on the London International Financial Futures Exchange. The proportion of the spot position held as futures contracts ‐ the hedging ratio ‐ is critical to traders and traditional estimates, using OLS, are constant over time. In this paper, we estimate time‐varying hedging ratios for wheat and barley contracts using a multivariate generalised autoregressive conditional heteroscedasticity (GARCH) model. Results indicate that GARCH hedging ratios do change through time. Moreover, risk using the GARCH hedge is reduced significantly by around 4 per cent for wheat and 2 per cent for barley relative to the no hedge position, and significantly by around 0.2 per cent relative to the constant hedge. The optimal, expected utility‐maximising, and the risk‐minimising hedging ratios are equivalent.