Using EViews, estimate a multivariate GARCH model for the spot and futures returns series in ‘sandphedge.wf1’. Note that these series are somewhat short for multivariate GARCH model estimation. Save the fitted conditional variances and covariances, and then use these to construct the time-varying optimal hedge ratios. Compare this plot with the unconditional hedge ratio calculated in chapter 2.

AppendixLO1