DATES PRICE RISK MANAGEMENT USING FUTURES MARKETS TOOLS (BIVARIATE GARCH MODEL)

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

SHERAFATMAND HABIBEH; YAZDANI SAEED; MOGHADASI REZA

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: Iranian Journal of Agricultural Economics and Development Research Year:2015 | Volume:45 | Issue:4 Page(s): 601-611

Download Full-Text

Persian Verion

View:

698

Download:

Cites:

Information Journal Paper

Title

DATES PRICE RISK MANAGEMENT USING FUTURES MARKETS TOOLS (BIVARIATE GARCH MODEL)

Author(s)

SHERAFATMAND HABIBEH | YAZDANI SAEED | MOGHADASI REZA | Issue Writer Certificate

Keywords

BGARCH MODELS AND DATESQ2

FUTURE MARKETQ2

PRICE RISKQ1

Abstract

Agricultural activities are risky activities. In these activities, various natural, social and economic risks have created fragile and vulnerable situation for producers. PRICE RISK in agricultural products has caused financial problems for many producers and farmers. To deal with these PRICE RISKs and price fluctuations, there are varieties of tools. This paper focused on futures markets instruments as risk management tools for date's PRICE RISKs management. This study used monthly futures prices of dates and used mean-variance framework to determine the optimal hedge ratio with OLS method. Due to the conditional variances autocorrelated in residuals in regression models, time varying hedge ratios with Bivariate GARCH models were determined. Bivariate GARCH model was used in this study to determine hedge ratios. Therefore, first, time varying conditional variance covariance matrix with using multivariate models based on heterogeneous variance BEKK (1, 1) was estimated. Then, using the results of this matrix, the optimal time varing hedge ratios was calculated. Dates future price series were predicted using artificial neural networks pattern and the GARCH model. The results of hedge performance showed that time varying hedge ratios were eliminated more PRICE RISK than the OLS method. The results showed that the average hedge ratios of Bivariate GARCH model is 0.7, meaning that about 70% of the date's PRICE RISK could be reduced with sales in the futures market.

Cites

No record.

References

No record.

Cite

APA: Copy

SHERAFATMAND, HABIBEH, YAZDANI, SAEED, & MOGHADASI, REZA. (2015). DATES PRICE RISK MANAGEMENT USING FUTURES MARKETS TOOLS (BIVARIATE GARCH MODEL). IRANIAN JOURNAL OF AGRICUTURAL ECONOMICS AND DEVELOPMENT RESEARCH, 45(4), 601-611. SID. https://sid.ir/paper/146383/en

Vancouver: Copy

SHERAFATMAND HABIBEH, YAZDANI SAEED, MOGHADASI REZA. DATES PRICE RISK MANAGEMENT USING FUTURES MARKETS TOOLS (BIVARIATE GARCH MODEL). IRANIAN JOURNAL OF AGRICUTURAL ECONOMICS AND DEVELOPMENT RESEARCH[Internet]. 2015;45(4):601-611. Available from: https://sid.ir/paper/146383/en

IEEE: Copy

HABIBEH SHERAFATMAND, SAEED YAZDANI, and REZA MOGHADASI, “DATES PRICE RISK MANAGEMENT USING FUTURES MARKETS TOOLS (BIVARIATE GARCH MODEL),” IRANIAN JOURNAL OF AGRICUTURAL ECONOMICS AND DEVELOPMENT RESEARCH, vol. 45, no. 4, pp. 601–611, 2015, [Online]. Available: https://sid.ir/paper/146383/en

Related Journal Papers