Crude-Oil Price volatility and Hedging Strategy
碩士 === 淡江大學 === 財務金融學系碩士班 === 93 === Crude oil products play an important role in economic development and industrialization. Not only for energy purpose, has the crude oil also supplied important raw material for the chemical industry. The price volatility and hedging strategy is emphasis by oil an...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/60191341170447410537 |
| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士班 === 93 === Crude oil products play an important role in economic development and industrialization. Not only for energy purpose, has the crude oil also supplied important raw material for the chemical industry. The price volatility and hedging strategy is emphasis by oil and chemical companies.
The characteristic of oil price volatility is the best target to test volatility measurement model. Engle (1982) proposes the ARCH model and Bollerslev (1986) revises the model (GARCH) to estimate and predict price volatility. More and more researches are suggested to discuss and describe the price volatility.
The paper use the price of WTI traded on the NYMEX from January 4, 2000 to August 18, 2004 to test the hedging efficiency of different model. The empirical shows that GARCH can catch the price volatility of WTI oil price. The explanation power of GARCH model is superior to the OLS model. Overall the GARCH-GED has the best performance of hedging efficiency among all the model.
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