mvhr: minimum variance hedge ratio function

In sieunyi/Hedge: "Hedge" analyzes whether futures are an effective tool for hedging and how effective they are based on the calculated optimal hedge ratio

Description

This function will calculate the single commodity hedge ratio by minimizing the variance of the returns.

Usage

mvhr(x, WinLen)

Arguments

x	(n x 2) matrix of input that consists of spot price in the first column and futures prices in the second column.
WinLen	Length of window

Value

(list(HR = HR, HE = HE))

HR	Length(nWin x 1) optimal hedge ratio matrix
HE	Length(nWin x 1) hedging effectiveness matrix

Examples

data(fx)
spot_price = fx$...1
futures_price = fx$...2
x = cbind(spot_price, futures_price)
Winlen <- 15
mvhr(x, Winlen)

sieunyi/Hedge documentation built on Dec. 23, 2021, 2:20 a.m.