Dynamic Price Jump and Hedging Effectiveness for the Minimum Variance Hedging Portfolio:The Case of Brent Crude Oil and Futures Price

• Main Authors: Yi-Chen Tao, 陶怡珍
• Other Authors: Chung-Chu Chuang
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/63357539003668694281

碩士 === 淡江大學 === 管理科學學系碩士班 === 100 === The international political and economic effect the crude oil price volatility dramatically. One of the main topics is hedging for the crude oil price volatility of the investors. Crude oil spot and futures prices exist to discontinuously depend on rare events occurred. In order to capture the dynamic price jump and covariance between spot and futures returns, we use Chan(2003) to address bivariate the CBP-GARCH model. The discussions on this paper are using rolling window to investigate the out-of-sample hedging effectiveness for the minimum variance hedging portfolio. The data period probes Brent oil spot and futures price using daily data for the time span 2010 to 2011. The empirical results show that the bivariate GARCH (1,1) model and the bivariate CBP-GARCH (1,1) model have hedging effectiveness for minimum variance hedging portfolio. Moreover, hedging effectiveness of the bivariate CBP-GARCH (1,1) model better than the bivariate GARCH (1,1) model. The bivariate CBP-GARCH (1,1) model is able to capture the dynamic jump between the asset price volatility and dynamic correlation, thus the bivariate CBP-GARCH (1,1) model obtain is the better hedging effectiveness for minimum variance hedging portfolio. The results can be reference for investors.