European Journal of Experimental Biology Open Access
ISSN: 2248-9215
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Abstract
Futures markets development as a price risk strategy in Iran's dates
Habibeh Sherafatmand, Saeed Yazdani and Reza Moghaddasi
Price risk in agricultural products has created main financial problems for agricultural producers. There are
different ways and instrument to deal with these price risks or price volatility. This paper focuses on futures markets
and calculates Hedge Ratio for dates. A Bivariate BEKK GARCH model, is used to determine time varying Hedge
Ratios. The results show that BEKK BGARCH hedge ratio for dates is 0.7 which hedging performance is higher
than the traditional one. The BEKK BGARCH hedge ratios provide 80% variance reduction, which is inferior to the
constant OLS procedures. The results of this paper suggest that futures markets are good instruments for managing
Dates producer price risk in Iran.
