The Role of Long Memory in Hedging Strategies for Canadian Commodity Futures

Janelle Mann

Journal of Agribusiness, 2012, vol. 30, issue 2

Abstract: This paper investigates whether InterContenental Exchange (ICE) futures contracts are an effective and affordable method of managing price risk for Canadian commodity producers. Long memory in volatility is found to be present in cash and futures prices for canola and western barley. Long memory is incorporated into the hedging strategy by estimating hedge ratios using a FIAPARCH model. Findings indicate that ICE futures contracts for canola are an effective and affordable means of reducing price risk while western barley producers should consider alternative means of managing price risk.

Keywords: Agricultural; Finance (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:ags:jloagb:260208

DOI: 10.22004/ag.econ.260208

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