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Optimal hedge ratio and the hedging performance of commodity futures: the case of Malaysian crude palm oil futures market

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Table 2.2: Johansen cointegration test (Spot vs. Futures).
Table 4.2: Optimal hedge ratios and the hedging effectiveness derived from VAR & VECM (lag = 2 chosen by SBC)
Table 4.3 presents the estimated mean hedge ratios and their effectiveness derived from the diag- diag-BEKK-GARCH models (eqns
Figure 4.3: Time-varying hedge ratios estimated from diag-BEKK GARCH (1, 1) model.
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