Question Details

[solution] » The following table gives data on monthly changes in the spot

Brief item decscription

Step-by-step solution file


Item details:

The following table gives data on monthly changes in the spot
More:

The following table gives data on monthly changes in the spot price and the futures price for a certain commodity.  You can answer this problem using Excel.  Please provide a printout of your Excel table of results.

Month

Change in spot price $

Change in the futures price $

1

0.2235

2.4475

2

-2.1667

-3.2794

3

8.0260

8.3493

4

4.8476

5.2488

5

-0.0651

-4.9403

6

11.7370

13.1473

7

12.2756

11.1016

8

-1.9149

-0.4247

9

5.3617

7.3709

10

1.6130

2.2933

11

3.6174

1.3498

12

0.3334

0.6617

13

-1.4396

-6.2554

14

7.9459

4.8917

15

-0.0492

-1.5287

16

2.9435

1.5628

17

3.5694

-1.0717

18

1.5904

3.4981

19

3.8853

2.7490

20

8.1038

10.9887

  • Calculate the standard deviation of the change in the spot price and the change in the futures price, as well as the correlation between the change in the spot and futures price.
  • Calculate the optimal hedge ratio and the hedging effectiveness using the minimum variance hedge ratio model.
  • Calculate the slope of the regression of the change in the spot price on the change in the futures price, as well as the associated R Square of the regression. 
  • Estimate the optimal hedge ratio and the hedging effectiveness using the results of part C.

 







About this question:
STATUS
Answered
QUALITY
Approved
ANSWER RATING

This question was answered on: Feb 21, 2020

PRICE: $24

Solution~00065908179.zip (18.37 KB)

Buy this answer for only: $24

This attachment is locked

We have a ready expert answer for this paper which you can use for in-depth understanding, research editing or paraphrasing. You can buy it or order for a fresh, original and plagiarism-free copy (Deadline assured. Flexible pricing. TurnItIn Report provided)

Pay using PayPal (No PayPal account Required) or your credit card. All your purchases are securely protected by PayPal.
SiteLock

Need a similar solution fast, written anew from scratch? Place your own custom order

We have top-notch tutors who can help you with your essay at a reasonable cost and then you can simply use that essay as a template to build your own arguments. This we believe is a better way of understanding a problem and makes use of the efficiency of time of the student. New solution orders are original solutions and precise to your writing instruction requirements. Place a New Order using the button below.

Order Now