Hedging Oil Prices with Renewable Energy Indices A Comparison between Various Multivariate Garch Versions

Asma Abdallah and Ahmed Ghorbela
Additional contact information
Asma Abdallah: Department of Quantitative Methods, CODESI Laboratory, Tunisia
Ahmed Ghorbela: Department of Quantitative Methods, CODESI Laboratory, Tunisia

Biostatistics and Biometrics Open Access Journal, 2018, vol. 6, issue 3, 74-86

Abstract: Increasing greenhouse gas emissions, rising and exhaustibility oil prices has accumulated the importance of looking for alternative energy sources. In this work, our objective is to study in a first step the link and interactions between oil market and the renewable energy stock market in terms of volatility, then in a second step to determine the best hedging strategy in the oil market by the renewable energy indices. Our methodology consists to estimate the volatility of the variation of oil prices on the renewable energy indices as well as the coefficient of correlation based on a multivariate GARCH model. Several versions of this model are used to calculate the variances as well as the conditional correlations to calculate the hedging ratio and then determinate the best hedging strategy.

Keywords: Biometrics Open Access Journal; Biostatistics and Biometrics; Biostatistics and Biometrics Open Access Journal; Open Access Journals; biometrics journal; biometrics articles; biometrics journal reference; biometrics journal impact factor; biometrics and biostatistics journal impact factor; journal of biometrics; open access juniper publishers; juniper publishers reivew (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://juniperpublishers.com/bboaj/pdf/BBOAJ.MS.ID.555687.pdf (application/pdf)
https://juniperpublishers.com/bboaj/BBOAJ.MS.ID.555687.php (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:adp:jbboaj:v:6:y:2018:i:3:p:74-86

DOI: 10.19080/BBOAJ.2018.06.555687

Access Statistics for this article

Biostatistics and Biometrics Open Access Journal is currently edited by Sophia Mathis

More articles in Biostatistics and Biometrics Open Access Journal from Juniper Publishers Inc.
Bibliographic data for series maintained by Robert Thomas ().