The main purpose of this comprehensive study is to determine the optimal hedge ratios and hedging effectiveness of … capture changes in the hedging effectiveness of the contracts. We find that the diagonal VECH and constant models produce … almost identical positive results for both periods, suggesting similar high hedging effectiveness for BIST 30 equity futures …

This paper evaluates how different types of speculation affect the volatility of commodities' futures prices. We adopt …-2010 analyzed at weekly frequency. Using GARCH models we find that speculation significantly affects volatility of returns: short … term speculation has a positive and significant impact on volatility, while long term speculation generally has a negative …