A comparative study on different statistical models for calculating the optimal hedge ratio in the live cattle market

Detalhes bibliográficos
Autor(a) principal: Frank Magalhães de Pinho
Data de Publicação: 2017
Outros Autores: Ari Francisco de Araújo Júnior, Marcos Antônio de Camargos
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UFMG
Texto Completo: http://hdl.handle.net/1843/46033
Resumo: Brazilian agribusiness has stood out in recent years for its efficiency and productivity growth, based on technology, planning, management of results, and continuous improvement of performance. In the live cattle market, the price oscillations show themselves as a risk that the producer has to minimize in order to ensure the success of his business. In this scenario, the futures market has been translated into an important hedging instrument, however, a confronting challenge is the identification of the production ratio that must be protected. Thus, this article aims to statistically compare the performance of six models for the calculation of the optimal hedge ratio in the Brazilian live cattle futures market: Ordinary least squares, BEKK, DCC by Tse and Tsui (2002), DCC by Engle and Sheppard (2001), time-varying beta correlations, and unconditional beta. The ratios were estimated for the log-returns of the daily and monthly price series of spot and futures live cattle, comprising the period from 10/2/2000 to 19/8/2014. It was noted that for the daily series, the contractual changes generate intertemporal breaks, resulting in the increased variance of the futures log-returns and the low optimal hedge ratio. For monthly series, it is concluded that the BEKK, followed by the unconditional beta are the best models when it comes to reduction of variance and maximization of the Sharpe ratio.
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spelling 2022-10-06T14:52:15Z2022-10-06T14:52:15Z2017190316017622386890http://hdl.handle.net/1843/46033Brazilian agribusiness has stood out in recent years for its efficiency and productivity growth, based on technology, planning, management of results, and continuous improvement of performance. In the live cattle market, the price oscillations show themselves as a risk that the producer has to minimize in order to ensure the success of his business. In this scenario, the futures market has been translated into an important hedging instrument, however, a confronting challenge is the identification of the production ratio that must be protected. Thus, this article aims to statistically compare the performance of six models for the calculation of the optimal hedge ratio in the Brazilian live cattle futures market: Ordinary least squares, BEKK, DCC by Tse and Tsui (2002), DCC by Engle and Sheppard (2001), time-varying beta correlations, and unconditional beta. The ratios were estimated for the log-returns of the daily and monthly price series of spot and futures live cattle, comprising the period from 10/2/2000 to 19/8/2014. It was noted that for the daily series, the contractual changes generate intertemporal breaks, resulting in the increased variance of the futures log-returns and the low optimal hedge ratio. For monthly series, it is concluded that the BEKK, followed by the unconditional beta are the best models when it comes to reduction of variance and maximization of the Sharpe ratio.O agronegócio brasileiro tem se destacado nos últimos anos por sua eficiência e pelo crescimento da produtividade, fundamentados em tecnologia, planejamento, gestão dos resultados e melhoria contínua de desempenho. No mercado do boi gordo, as oscilações apresentadas nos preços se apresentam como um risco que o produtor tem que minimizar para garantir o sucesso do seu negócio. Nesse cenário o mercado futuro tem se traduzido em um importante instrumento de hedge, mas um desafio com que se defronta é a identificação da proporção da produção que deve ser protegida. Assim, este artigo tem como objetivo comparar estatisticamente a performance (eficiência) de seis modelos para o cálculo da razão ótimade hedge no mercado Futuro de Boi Gordo brasileiro: Mínimos Quadrados Ordinários, BEKK, DCC de Tse e Tsui (2002), DCC de Engle e Sheppard (2001), Beta de Correlações Variantes no Tempo e o Beta Incondicional. As razões foram estimadas para os log-retornos das séries de preços diárias e mensais de boi gordo spot e futuro, compreendendo o período de 02/10/2000 a 19/08/2014. Constatou-se que para as séries diárias, as mudanças contratuais geram quebras intertemporais, fazendo com que a variância dos log-retornos futuros aumente e a razão ótima de hedgeseja baixa. Para séries mensais, conclui-se que o BEKK, seguido do Beta Incondicional são os melhores modelos quando se trata de redução de variância e maximização do Índice de SharpeengUniversidade Federal de Minas GeraisUFMGBrasilFCE - DEPARTAMENTO DE CIÊNCIAS ADMINISTRATIVASICX - DEPARTAMENTO DE ESTATÍSTICAOrganizações Rurais & AgroindustriaisAgroindústriaHedging (Finanças)HedgeOptimal Hedge RatioLive CattleFutures MarketBEKKDCCA comparative study on different statistical models for calculating the optimal hedge ratio in the live cattle marketUm estudo comparativo de diferentes modelos estatísticos para cálculo da razão ótima de hedge no mercado de boi gordoinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleFrank Magalhães de PinhoAri Francisco de Araújo JúniorMarcos Antônio de Camargosinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFMGinstname:Universidade Federal de Minas Gerais (UFMG)instacron:UFMGORIGINALA COMPARATIVE STUDY ON DIFFERENT STATISTICAL MODELS FOR CALCULATING THE OPTIMAL HEDGE RATIO IN THE LIVE CATTLE MARKET.pdfA COMPARATIVE STUDY ON DIFFERENT STATISTICAL MODELS FOR CALCULATING THE OPTIMAL HEDGE RATIO IN THE LIVE CATTLE MARKET.pdfapplication/pdf4613578https://repositorio.ufmg.br/bitstream/1843/46033/2/A%20COMPARATIVE%20STUDY%20ON%20DIFFERENT%20STATISTICAL%20MODELS%20FOR%20CALCULATING%20THE%20OPTIMAL%20HEDGE%20RATIO%20IN%20THE%20LIVE%20CATTLE%20MARKET.pdf57e7ef6573d0fed1e9cfa748c6456856MD52LICENSELicense.txtLicense.txttext/plain; charset=utf-82042https://repositorio.ufmg.br/bitstream/1843/46033/1/License.txtfa505098d172de0bc8864fc1287ffe22MD511843/460332022-10-06 11:52:15.813oai:repositorio.ufmg.br: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Repositório de PublicaçõesPUBhttps://repositorio.ufmg.br/oaiopendoar:2022-10-06T14:52:15Repositório Institucional da UFMG - Universidade Federal de Minas Gerais (UFMG)false
dc.title.pt_BR.fl_str_mv A comparative study on different statistical models for calculating the optimal hedge ratio in the live cattle market
dc.title.alternative.pt_BR.fl_str_mv Um estudo comparativo de diferentes modelos estatísticos para cálculo da razão ótima de hedge no mercado de boi gordo
title A comparative study on different statistical models for calculating the optimal hedge ratio in the live cattle market
spellingShingle A comparative study on different statistical models for calculating the optimal hedge ratio in the live cattle market
Frank Magalhães de Pinho
Hedge
Optimal Hedge Ratio
Live Cattle
Futures Market
BEKK
DCC
Agroindústria
Hedging (Finanças)
title_short A comparative study on different statistical models for calculating the optimal hedge ratio in the live cattle market
title_full A comparative study on different statistical models for calculating the optimal hedge ratio in the live cattle market
title_fullStr A comparative study on different statistical models for calculating the optimal hedge ratio in the live cattle market
title_full_unstemmed A comparative study on different statistical models for calculating the optimal hedge ratio in the live cattle market
title_sort A comparative study on different statistical models for calculating the optimal hedge ratio in the live cattle market
author Frank Magalhães de Pinho
author_facet Frank Magalhães de Pinho
Ari Francisco de Araújo Júnior
Marcos Antônio de Camargos
author_role author
author2 Ari Francisco de Araújo Júnior
Marcos Antônio de Camargos
author2_role author
author
dc.contributor.author.fl_str_mv Frank Magalhães de Pinho
Ari Francisco de Araújo Júnior
Marcos Antônio de Camargos
dc.subject.por.fl_str_mv Hedge
Optimal Hedge Ratio
Live Cattle
Futures Market
BEKK
DCC
topic Hedge
Optimal Hedge Ratio
Live Cattle
Futures Market
BEKK
DCC
Agroindústria
Hedging (Finanças)
dc.subject.other.pt_BR.fl_str_mv Agroindústria
Hedging (Finanças)
description Brazilian agribusiness has stood out in recent years for its efficiency and productivity growth, based on technology, planning, management of results, and continuous improvement of performance. In the live cattle market, the price oscillations show themselves as a risk that the producer has to minimize in order to ensure the success of his business. In this scenario, the futures market has been translated into an important hedging instrument, however, a confronting challenge is the identification of the production ratio that must be protected. Thus, this article aims to statistically compare the performance of six models for the calculation of the optimal hedge ratio in the Brazilian live cattle futures market: Ordinary least squares, BEKK, DCC by Tse and Tsui (2002), DCC by Engle and Sheppard (2001), time-varying beta correlations, and unconditional beta. The ratios were estimated for the log-returns of the daily and monthly price series of spot and futures live cattle, comprising the period from 10/2/2000 to 19/8/2014. It was noted that for the daily series, the contractual changes generate intertemporal breaks, resulting in the increased variance of the futures log-returns and the low optimal hedge ratio. For monthly series, it is concluded that the BEKK, followed by the unconditional beta are the best models when it comes to reduction of variance and maximization of the Sharpe ratio.
publishDate 2017
dc.date.issued.fl_str_mv 2017
dc.date.accessioned.fl_str_mv 2022-10-06T14:52:15Z
dc.date.available.fl_str_mv 2022-10-06T14:52:15Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/1843/46033
dc.identifier.issn.pt_BR.fl_str_mv 22386890
identifier_str_mv 22386890
url http://hdl.handle.net/1843/46033
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartof.pt_BR.fl_str_mv Organizações Rurais & Agroindustriais
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Universidade Federal de Minas Gerais
dc.publisher.initials.fl_str_mv UFMG
dc.publisher.country.fl_str_mv Brasil
dc.publisher.department.fl_str_mv FCE - DEPARTAMENTO DE CIÊNCIAS ADMINISTRATIVAS
ICX - DEPARTAMENTO DE ESTATÍSTICA
publisher.none.fl_str_mv Universidade Federal de Minas Gerais
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFMG
instname:Universidade Federal de Minas Gerais (UFMG)
instacron:UFMG
instname_str Universidade Federal de Minas Gerais (UFMG)
instacron_str UFMG
institution UFMG
reponame_str Repositório Institucional da UFMG
collection Repositório Institucional da UFMG
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