Outline the underpinnings of the Minimum Variance Hedge Ratio approach to the determination of hedge ratios for futures contracts Illustrate the practical computation of futures hedge ratios for two stock index futures prices Consider ONE of the following case Please note to implement your analysis it is necessary to download the futures price series and the corresponding stock index contracts from DATASTREAM, Bloomberg, Capital I Q, Yahoo Finance or others Basing your analysis on the following paper Stock index futures hedging hedge ratio estimation, duration effects, expiration effects and hedge ration stability by Holmes (1996), Journal of Business Finance Accounting, 23(1), pp 63 77 demonstrate how a GARCH procedure can be employed to compute hedge ratios for futures contracts Basing your analysis on the following paper by Butterworth and Holmes (2001) The Hedging Effectiveness of Stock Index Futures Evidence for the FTSE 100 and the FTSE mid250 indexes traded in the UK, Applied Financial Economics, Vol 11, pp 57 68 demonstrate how an error correction procedure can be employed to compute hedge ratios for futures contracts

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Outline the underpinnings of the Minimum Variance Hedge Ratio approach to the determination of hedge ratios for futures contracts. Illustrate the practical computation of futures

Outline the underpinnings of the Minimum Variance Hedge Ratio approach to the determination of hedge ratios for futures contracts. Illustrate the practical computation of futures hedge ratios for two stock index futures prices. Consider ONE of the following case. Please note to implement your analysis it is necessary to download the futures price series and the corresponding stock index contracts from DATASTREAM, Bloomberg, Capital I&Q, Yahoo Finance or others

Basing your analysis on the following paper: Stock index futures hedging: hedge ratio estimation, duration effects, expiration effects and hedge ration stability by Holmes (1996), Journal of Business Finance & Accounting, 23(1), pp 63-77 demonstrate how a GARCH procedure can be employed to compute hedge ratios for futures contracts.
Basing your analysis on the following paper by Butterworth and Holmes (2001) The Hedging Effectiveness of Stock Index Futures: Evidence for the FTSE-100 and the FTSE-mid250 indexes traded in the UK, Applied Financial Economics, Vol. 11, pp 57-68 demonstrate how an error correction procedure can be employed to compute hedge ratios for futures contracts.