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Linear hedging of crude oil and natural gas

机译：原油和天然气的线性对冲

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The paper examines price risk hedging for crude oil and natural gas. The aim of the research is to compare the success rate of hedging and subsequently formulate recommendations for applying a particular model to investigated commodities. The subjects of research are the spot prices of West Texas Intermediate and the Henry Hub. The risk protection is provided by an application of futures contracts. The hedge ratio is determined using ordinary least squares (OLS), Naïve portfolio, Copula and generalised autoregressive conditional heteroskedasticity (GARCH). Afterwards, the ability of the received weights to reduce the risk is measured by hedging effectiveness over two years. The results confirmed that the applied model for crude oil is rather irrelevant in comparison to natural gas, where the employed models provided significant differences in hedging effectiveness. Overall, in the case of natural gas all the applied models were unable to generate satisfactory hedging results.
机译：本文研究了原油和天然气的价格风险对冲。该研究的目的是比较套期保值的成功率，并随后提出将特定模型应用于被调查商品的建议。研究的主题是西德克萨斯中质油和亨利港的现货价格。风险保护是通过应用期货合约提供的。使用普通最小二乘（OLS），朴素的投资组合，Copula和广义自回归条件异方差（GARCH）确定对冲比率。之后，通过两年的对冲有效性来衡量所接收权重降低风险的能力。结果证实，与天然气相比，所应用的原油模型与天然气无关，后者所采用的模型在套期保值有效性方面存在显着差异。总体而言，就天然气而言，所有应用的模型都无法产生令人满意的套期保值结果。

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