provide higher variance reductions in terms of hedging effectiveness; there is poor correlation among spot and futures, not …We explore optimal hedge ratios and hedging effectiveness for the German electricity market. Given the increasing … futures. Simpler approaches are also used for comparison purposes like the naïve, OLS and the dynamic multivariate GARCH model …

) continues to be prevalent makes MGRM's strategy of hedging long-term supply commitments with short-dated futures contracts look …We show that, since the inception of energy futures markets, prices have on average exhibited backwardation. Normal …

This paper evaluates the profitability of applying four different volatility forecasting models to the trading of … applied in this paper are: historical volatility, two ARCH models, and an autoregressive model for the volatility index. VDAX …. The ARCH models perform best in generating profits for market makers. Forecasts based on historical volatility also …