alexa Abstract | Futures markets development as a price risk strategy in Iran's dates

European Journal of Experimental Biology
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Research Article Open Access

Abstract

Price risk in agricultural products has created main financial problems for agricultural producers. There are different ways and instrument to deal with these price risks or price volatility. This paper focuses on futures markets and calculates Hedge Ratio for dates. A Bivariate BEKK GARCH model, is used to determine time varying Hedge Ratios. The results show that BEKK BGARCH hedge ratio for dates is 0.7 which hedging performance is higher than the traditional one. The BEKK BGARCH hedge ratios provide 80% variance reduction, which is inferior to the constant OLS procedures. The results of this paper suggest that futures markets are good instruments for managing Dates producer price risk in Iran.

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Author(s): Habibeh Sherafatmand Saeed Yazdani and Reza Moghaddasi

Keywords

Hedge ratio, BGARCH, Dates. JEL Classification: C1, C15, C32, D4.

 
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