03655ntm a22005057i 4500 000723956 CZ-PrVSE 20250621144446.0 m d cr n|||||||||| 250621s2025 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Lím, Drahoslav ISIS:169530 dis Porovnání dynamické a statické strategie na odhad zajišťovacího poměru eng Comparison of dynamic and static strategy for hedge ratio determination / Drahoslav Lím 2025 ?? stran : digital, PDF soubor Vedoucí práce: Miroslav Rada Bakalářská práce (Bc.)—Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky, 2025 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2025 This thesis compares the effectiveness of static and dynamic strategies for determining the hedge ratio in commodity markets. I focus on two business scenarios: an airline company purchasing jet fuel hedged with WTI crude oil futures and a shipping company purchasing gasoline hedged with RBOB gasoline futures. My objective is to lower the volatility of changes in weekly costs in USD per gallon for the given commodity. Using OLS regression on time series data from 2021--2024, I estimate optimal hedge ratios that minimize variance for both strategies. Empirical results show that both hedging strategies successfully reduced the volatility of changes of weekly costs per gallon for a given commodity. The reductions were more substantial in the airline case, where the first differences of spot and futures prices showed strong positive correlation. In the shipping company case, the weaker positive correlation limited the potential of both strategies, but volatility was still modestly reduced. In both scenarios, the dynamic strategy slightly outperformed the static one, supporting the idea that responding to market changes can improve hedging performance. These results demonstrate that the effectiveness of hedge ratios depends not only on their construction method but also on the underlying correlation type of the market. While the OLS framework produced usable estimates, the presence of volatility clustering in all price series suggests that models explicitly accounting for heteroskedasticity---such as ARCH or GARCH---may offer a more robust alternative for future hedge ratio estimation. Způsob přístupu: Internet ekonometrie a operační výzkum [obor bakal. práce] bakalářské práce fd132403 czenas bachelor's theses eczenas volatility optimal hedge ratio ordinary least squares method Rada, Miroslav ISIS:14744 ths Frýd, Lukáš ISIS:78722 opn Vysoká škola ekonomická v Praze. Fakulta informatiky a statistiky kn20010709399 dgg https://insis.vse.cz/zp/91217/podrobnosti VŠKP v InSIS https://insis.vse.cz/zp/91217 Hlavní práce https://insis.vse.cz/zp/91217/posudek/vedouci Hodnocení vedoucího https://insis.vse.cz/zp/91217/posudek/oponent/86684 Oponentura https://insis.vse.cz/zp/91217/priloha/31469 Přiloha k práci https://insis.vse.cz/zp/91217/podrobnosti dc:identifier NEPOSILAT VSKP vse91217 250619 91217