Comparison of the impact of econometric models on hedging performance by crude oil and natural gas

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Comparison of the impact of econometric models on hedging performance by crude oil and natural gas

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Comparison of the impact of econometric models on hedging performance by crude oil and natural gas

Popis výsledku anglicky

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.

Druh

J_SC - Článek v periodiku v databázi SCOPUS

CEP obor

—

OECD FORD obor

50200 - Economics and Business

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

—

Svazek periodika

66

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

7

Strana od-do

423-429

Kód UT WoS článku

—

EID výsledku v databázi Scopus

2-s2.0-85047603445