نوع مقاله : مقاله پژوهشی
نویسندگان
1 عضو هیأت علمی دانشگاه پیام نور، تهران، ایران
2 عضو هیأت علمی دانشگاه آزاد واحد تهران مرکزی، تهران، ایران
3 کارشناس ارشد مالی، مدرس دانشگاه خوارزمی، تهران، ایران (نویسنده مسئول)
چکیده
کلیدواژه‌ها
عنوان مقاله [English]
نویسندگان [English]
One of the most important applications of futures, hedging is that this application is also evident in the futures coins and various stakeholders can use it. In this paper, using time series dollar in free market and price of futures contracts coin during the period 1390 to 1393 to assess the risk of cross hedging exchange rate using futures contracts coin.
First, the correlation between the exchange rate and price time series econometric model for future Coin vector regression (VAR) found. After the confirmation of residual autocorrelation and heteroscedasticity conditional on the VAR, the model BEEK (which is a multivariate GARCH model), conditional variance Currency and coins was estimated future prices and then by minimum variance hedge ratio was calculated for different maturities and the profit or loss resulting from currency risk hedging gain or loss resulting from exchange rate fluctuations were real. The results show that there is a high correlation with the price of the coin exchange rate (US Dollar), possibility of covering cross-currency risk using futures contracts provide for gold coins. Also, due to long-term memory between exchange rate fluctuations and price estimation of future coins hedge ratio through BEEK-GARCH model, and using this model include more than 70 percent to compensate losses from currency risk.
کلیدواژه‌ها [English]
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