Hedge Ratio and Hedging Horizon: A Wavelet Based Study of Indian Agricultural Commodity Markets
نویسنده
چکیده
In India the history of commodity derivatives market has a long history, though a structured and exchange traded derivative trading is not more than a decade long. The derivatives market is established for the main purpose of hedging the price risk. Since the inception of derivatives, the concern of how much to hedge technically called the hedge ratio is widely debated and discussed. In present paper, we has empirically estimated the hedge ratio using three different methodologies viz. OLS, ECM and WAVELET Approach for ten agricultural commodities traded on NCDEX platform. The results witnessed reveal that wavelet hedge ratio is comparatively larger than OLS and ECM, and as we go on increasing the hedging horizon hedge ratio increases.
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