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The Role of Long Memory in Hedging Strategies for Canadian Commodity Futures

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  • Mann, Janelle M.

Abstract

This paper investigates whether InterContenental Exchange (ICE) futures contracts are an effective and affordable method of managing price risk for Canadian commodity producers. Long memory in volatility is found to be present in cash and futures prices for canola and western barley. Long memory is incorporated into the hedging strategy by estimating hedge ratios using a FIAPARCH model. Findings indicate that ICE futures contracts for canola are an effective and affordable means of reducing price risk while western barley producers should consider alternative means of managing price risk.

Suggested Citation

  • Mann, Janelle M., 2012. "The Role of Long Memory in Hedging Strategies for Canadian Commodity Futures," Journal of Agribusiness, Agricultural Economics Association of Georgia, vol. 30(2).
    • Handle: RePEc:ags:jloagb:260208
    DOI: 10.22004/ag.econ.260208
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    File URL: https://ageconsearch.umn.edu/record/260208/files/The%20Role%20of%20Long%20Memory%20in%20Hedging%20Strategies%20for%20Canadian%20Commodity%20Futures.pdf
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    Cited by:

    1. Naveen Musunuru, 2019. "Modeling Long Range Dependence in Wheat Food Price Returns," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(9), pages 1-46, September.

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    Keywords

    Agricultural Finance;

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