Multi mean garch approach to evaluating hedging performance in the crude palm oil futures market

• Main Authors: Zainudin, Rozaimah, Shaharudin, Roselee Shah
• Format: Article
• Published: Penerbit Universiti Sains Malaysia 2011
• Subjects: HF Commerce
• Online Access: http://eprints.um.edu.my/23010/; http://web.usm.my/journal/aamjaf/vol%207-1-2011/7-1-6.pdf

This paper provides evidence of hedging performance in the crude palm oil market using risk minimisation and the investor's utility function measurement. We use the spot and futures crude palm oil daily prices from the period of January 1996 to August 2008. Using a dynamic model, we estimate th...