University of Isfahan Journal of Asset Management and Financing 2383-1189 5 3 2017 10 23 Determining the Optimal Hedge Ratio of Gold Coin Futures; A Comparative Approach Determining the Optimal Hedge Ratio of Gold Coin Futures; A Comparative Approach 177 196 21181 10.22108/amf.2017.21181 FA S. Babak Ebrahimi Assistant Professor at the Department of Financial Engineering, Faculty of Industrial Engineering K.N.Toosi University of Technology, Tehran,Iran Ali Tasbihi MSc Student, Department of Financial Engineering, Faculty of Industrial Engineering K.N.Toosi University of Technology, Tehran, Iran Journal Article 2015 11 01 The aim of this study is to calculate the optimal hedge ratio of gold coin future contrasts with different econometric methods and compare their hedging effectiveness with each other. Used models are OLS, VAR and VECM that estimate the hedge ratio to be static over the time and multivariate GARCH models that estimate the hedge ratio to be vary over the time. The studied time period was from Tuesday, November 25, 2008 to Monday, June 01, 2015 and we have used the future and spot prices of gold coin in this period. To increase the correlation between future and spot returns we have calculated the optimal hedge ratio with weekly returns in addition to daily returns. Finally, the comparisons show that the use of multivariate GARCH models leads to better performance in daily returns but in weekly returns, static models have better results. The aim of this study is to calculate the optimal hedge ratio of gold coin future contrasts with different econometric methods and compare their hedging effectiveness with each other. Used models are OLS, VAR and VECM that estimate the hedge ratio to be static over the time and multivariate GARCH models that estimate the hedge ratio to be vary over the time. The studied time period was from Tuesday, November 25, 2008 to Monday, June 01, 2015 and we have used the future and spot prices of gold coin in this period. To increase the correlation between future and spot returns we have calculated the optimal hedge ratio with weekly returns in addition to daily returns. Finally, the comparisons show that the use of multivariate GARCH models leads to better performance in daily returns but in weekly returns, static models have better results. Hedge ratio Minimum variance Future contracts Hedge effectiveness Multivariate GARCH models https://amf.ui.ac.ir/article_21181_e780055ea5fc15c63f3349a10a4cf61c.pdf