Hedge strategy analyses for price risk of importing crude oil of Chinese Petroleum Corporation
Date Issued
2009
Date
2009
Author(s)
Lee, Ming-Hsi
Abstract
The purpose of this thesis is to use Brent crude oil futures to dodge the price risk of importing crude oil of Chinese Petroleum Corporation. First, we estimated the cost of importing crude oil of Chinese Petroleum Corporation based on the「Domestic floating price mechanism adjusting principle of gasoline and diesel oil」. Then, we compare the hedging effectiveness based on the hedge ratios estimated from the conventional ordinary least squares (OLS) method, the rollover OLS method, the constant conditional correlation GARCH (CCC-GARCH) model, the dynamic conditional correlation GARCH (DCC-GARCH) model and the selective hedge model. n the framework of minimizing hedging portfolio variances, we find that the hedging strategy of the selective hedge model, which explicitly considers heteroscedasticity and time-varying correlations between the spot and futures returns, outperforms the others both in in-sample and out-of-sample forecasts in this study.
Subjects
CPC
dynamic hedge strategy
constant conditional correlation GARCH model
dynamic conditional correlation GARCH model
selective hedge model
Type
thesis
File(s)![Thumbnail Image]()
Loading...
Name
ntu-98-R96627015-1.pdf
Size
23.53 KB
Format
Adobe PDF
Checksum
(MD5):1f3c2b217e5a90164cf5fe0e32e6854e