摘要：In developing optimal hedge ratios for the soybean processing margin, many authors have illustrated the importanceof considering the interactions between the cash and futures prices for soybeans, soybean oil, and soybean meal.Conditional as well as time-varying hedge ratios have been examined, but in the case of multiproduct time-varyinghedge ratios, the difficulty in estimation has been found to often outweigh any improvement in hedgingeffectiveness. This research examines the hedging effectiveness of the Risk Metrics procedure for estimating a time-varying covariance matrix for developing optimal hedge ratios for the soybean processing margin. The Risk Metricsmethod allows for a time-varying covariance matrix while being considerably easier to implement than multivariateGARCH (MGARCH) procedures. The Risk Metrics procedure has been advocated for use in developing Value-at-Risk estimates. While it provided considerable out-of-sample improvement in hedging effectiveness relative to aconstant correlation MGARCH procedure, the Risk Metrics method provided only minimal improvement over ana.ve (1-to-1) hedging strategy. However, this research does illustrate the potential for the Risk Metricsmethodology as a viable alternative to MGARCH procedures in a multiproduct hedging context.
