Comparison of the impact of econometric models on hedging performance by crude oil and natural gas
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F18%3A00102107" target="_blank" >RIV/00216224:14560/18:00102107 - isvavai.cz</a>
Result on the web
<a href="https://acta.mendelu.cz/66/2/0423/" target="_blank" >https://acta.mendelu.cz/66/2/0423/</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201866020423" target="_blank" >10.11118/actaun201866020423</a>
Alternative languages
Result language
angličtina
Original language name
Comparison of the impact of econometric models on hedging performance by crude oil and natural gas
Original language description
The paper examines the performance of hedging spot prices in crude oil and natural gas. The subject of the research are spot prices of West Texas Intermediate and Henry Hub. The risk protection is provided by the application of futures contracts of underlying assets. In our analysis three econometric models (OLS, Copula, GARCH) and a naive portfolio are applied to obtain the optimal hedge ratio. Afterwards, the calculated weights for futures are verified for the ability to reduce the spot price risk over twelve months. The success of each model in risk reduction is measured over the test period by a conventional tool and across the models by proper metric. The results of the analysis confirm high level of risk reduction by crude oil across models. On the contrary, the results of hedging in natural gas significantly lag in comparison to crude oil. In addition, the analysis confirms a strong variability over the tested period and models.
Czech name
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Czech description
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Classification
Type
J<sub>SC</sub> - Article in a specialist periodical, which is included in the SCOPUS database
CEP classification
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OECD FORD branch
50200 - Economics and Business
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
1211-8516
e-ISSN
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Volume of the periodical
66
Issue of the periodical within the volume
2
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
7
Pages from-to
423-429
UT code for WoS article
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EID of the result in the Scopus database
2-s2.0-85047603445