OPTIMAL HEDGE RATIO DAN EFEKTIVITAS HEDGING KONTRAK FUTURES KOMODITI EMAS

Investing is a risky business, it can be seen from the development of the financial market in the world is rapidly increasing. Need an instrument to reduce market risk by adding derivative contracts as hedges instrument. Hedging decisions based on futures contracts have to deal with finding the optimal hedge ratio and the effectiveness of hedging. This study aims to determine and compare the results of optimal hedge ratio and hedging effectiveness of commodity futures contracts gold using four econometric models, namely Ordinary Least Square (OLS), Vector Auto Regression (VAR), Vector Error Correction Model (VECM), and Multivariate Generalized Autoregressive Conditional Heteroscedastic Model (M-GARCH). Two pieces of data used for this research, in-sample data for the period from 1st May 2009 to 31st December 2013 and out of sample data with periode 1st January to 28th Maret 2013. The data used are daily data on spot and futures commodity market of gold. The results of this study are M-GARCH models can indicate the optimal hedge ratio and hedging effectiveness for the highest long-term period in-sample data. For the period of short-term out of sample data OLS models can be considered as a means of hedging