Modeling and the Hedging Effectiveness of Hedge Ratios for Rubber Price in Thailand
Keywords:
Hedge ratio, Rubber Price, ThailandAbstract
This paper investigates the optimal hedge ratio and compares the effective of the hedging in both time varying and constant hedge ratio by using the data of the Ribbed Smoked Sheet No. 3 (RSS3). Daily data from October 26, 2016 to September 28, 2018, weekly data from June 4, 2004 to September 28, 2018, and monthly data from June 2004 - September 2018 are employed. Time varying hedge ratios estimated by Bivariate GARCH model, Bivariate Diagonal BEKK GARCH model, Bivariate GARCH-X model, and CCC model which assume the error term has normal distribution and t- distribution. Whereas the constant hedge ratios estimated by OLS model, VAR model, and VECM model.
The results found that the hedge ratios from daily data are in range 0.1568 – 0.4108 and Bivariate Diagonal BEKK GARCH model with the error term has t-distribution is the best effective. Using weekly data, the hedge ratios are lie between 0.5974 – 0.7534 and VECM model is the best effective. For monthly data, the hedge ratios are in range 0.7415 – 0.8910 and Bivariate GARCH-X model with the error term has t-distribution is the best effective.
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บทความ เนื้อหา และข้อมูล ฯลฯ ในวารสารเศรษฐศาสตร์มหาวิทยาลัยเชียงใหม่ ถือเป็นลิขสิทธิ์เฉพาะของคณะเศรษฐศาสตร์มหาวิทยาลัยเชียงใหม่ หากบุคคลหรือหน่วยงานใดต้องการนำทั้งหมดหรือส่วนหนึ่งส่วนใดไปเผยแพร่ต่อหรือเพื่อกระทำการใดๆ จะต้องได้รับอนุญาตเป็นลายลักษณ์อักษร จากวารสารเศรษฐศาสตร์ มหาวิทยาลัยเชียงใหม่
