| Summary: | 碩士 === 國立交通大學 === 經營管理研究所 === 95 === Crude oil keeps country’s economy running, and crude oil futures is one of the most actively traded commodity, as well as the world's largest-volume futures contract trading on a physical commodity. Energy price is highly dependent on global macroeconomic conditions, and what amount of energy futures contracts should be purchased to minimise the risk of holding spot energy is important issue in recent years.
This research applies various methods in minimum-variance hedge strategy, and computes the Optimal Hedge Ratios (OHRs) between the amount of spot and futures for energy commodity prices using different econometric methods. Namely, using Dynamic Conditional Correlation, and DCC-CARR model proposed by Chou et. al. (2005) to compute OHRs. Other methods used for comparison include the ordinary least squares (OLS) estimator, Constant Correlation models and so on.
The research period is from 1995 to 2007, and daily data is collected. Different methods are compared with each other in their hedging performance of variance-reduction. For the out of sample hedge, the CCC or DCC model is the best one for three commodities, and could to find the minimum-variance of a portfolio for investor. In conclusion, dynamic hedging model is better than the traditional OLS model. Meanwhile, the optimal hedge ratio is not constant, it should be time-varying.
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