Dynamic spillover effect to manage ship fuel and crude oil portfolio using MGARCH model

Considering the existed uncertainty in fuel prices, a good risk management strategy is vital for the shipping companies as the other transport companies which are exposed to the mentioned fluctuations. In this regards, this article is aimed to calculate the optimum hedging ratio for the ship fuel in terms of minimum risk. Hence To account for the non-constant structure of return VAR-VECH model is applied. After the estimation the spillover and conditional structure of the variances can be built. These spillovers will be important in the risk calculation of any optional basket consisting two mentioned energy carriers. In the next step, Optimization process is performed by using the Lagrangian multiplier technique. The data are obtained from Bloomberg daily closing price of energy carriers for the spanning ۱۰ years which started from January ۲۰۱۰ and ends to February ۲۰۱۹. Finally, results is to get the proportion of investment in both crude oil and ship fuel in a basket consisting these two energy carriers.

کلیدواژه ها:

Optimum Hedging Ratio ، Ship Fuel ، CCC Model ، Crude Oil ، Fuel price