การทดสอบประสิทธิผลของการป้องกันความเสี่ยงในกรณีของยางแผ่นรมควันชั้น 3 / ตินา กนกธนาพร = The hedging effectiveness in the case of ribbed smoked sheet no.3 / Tina Kanoktanaporn
The purpose of this study is to estimate the hedge ratio with using three different econometric techniques. Using ribbed smoked rubber sheet no.3, the hedge ratios are calculated from the OLS regression model, the vector error correction model (VECM) and the GARCH model. Then bring the hedge ratios to test the hedging effectiveness. The hedging effectiveness is examined in two ways. First, the average returns of the hedged and the unhedged position and second, the average variance reduction between the hedged and the unhedged position. This study found that investor can use future contract to protect risk by observing the decrease variance. Compare the hedging effectiveness in the case of in sample test, portfolio that use GARCH model has the greatest effectiveness when considering the decreased variance such as period 2, period 3 and period 5 due to spot and future prices generally reflect the information that impacts. When information change, the spot prices and future prices accordingly change. Therefore hedge ratio from GARCH model will change all the time. But it's not always true, lf we still consider according to the market environment, may lead to the wrong estimation of the hedge ratio. So in this case the portfolio that apply static modal (OLS and VECM), period 1 and period 4, has more efficiency that apply GARCH model. Compare the hedging effectiveness in the case of out sample test, portfolio that use OLS model has has the greatest effectiveness when considering the decreased variance such as period 1, period 2, period 3 and period 5. And the other periods, the portfolio that use GARCH model has the greatest effectiveness.
