Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: minimum variance hedge ratio

From   Krishna <>
Subject   st: minimum variance hedge ratio
Date   Mon, 19 Sep 2005 14:04:32 +0530

Hi all

i have two data sets, spot and futures cash market prices. to estimate
the minimum variance hedge ratio, i first had a glance on the
correlation coefficient of relative price change (ln(St / St-1).
surprizingly the value is just 0.2 compared to actual price
correlation of 0.9. (i did regress the spot change on future change,
co-effi is 0.3, and R2 is only 0.025

a) in such scenario can someone help me in estimating the ratio which
are time varying.
b) is there a way to define the function as the correlation will work
at given level of basis (futures - spot).

thank u for the help and co-operation



*   For searches and help try:

© Copyright 1996–2017 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index