NISE in Energy. Trade and Finance SA286 01 & Energy Trading Coursework Assignment. The lusiness School (formerly Caw) TASK 4 Download weekly spot and futures prices for an energy commodity of your choice (e.g. crude, gasoil, natural gas etc.) for the past 10 years. 1. Use the first five years of the data to estimate the OLS or minimum variance hedge ratio (MVHR). 2. Use the second half of your data to compare the hedging effectiveness of four different hedging strategies: a. One-to-one hedge ratio, b. OLS or minimum variance hedge ratio, c. A rolling window OLS hedge ratio (time-varying), and d. An exponentially weighted average hedge ratio (EWAHR), in hedging spot exposure using futures contract. The estimated OLS hedge ratio should be kept constant over the hedging period (second sub-sample), while for rolling hedge ratio, you can assume a window of 1 or 2 years estimate the rolling hedge ratio and roll the estimation window over the hedging period. 3. Comment on your results and discuss any problems that may arise using such hedging strategies. Also, explain any other methods that can be used to establish a more effective hedging strategy. NISE in Energy. Trade and Finance SA286 01 & Energy Trading Coursework Assignment. The lusiness School (formerly Caw) TASK 4 Download weekly spot and futures prices for an energy commodity of your choice (e.g. crude, gasoil, natural gas etc.) for the past 10 years. 1. Use the first five years of the data to estimate the OLS or minimum variance hedge ratio (MVHR). 2. Use the second half of your data to compare the hedging effectiveness of four different hedging strategies: a. One-to-one hedge ratio, b. OLS or minimum variance hedge ratio, c. A rolling window OLS hedge ratio (time-varying), and d. An exponentially weighted average hedge ratio (EWAHR), in hedging spot exposure using futures contract. The estimated OLS hedge ratio should be kept constant over the hedging period (second sub-sample), while for rolling hedge ratio, you can assume a window of 1 or 2 years estimate the rolling hedge ratio and roll the estimation window over the hedging period. 3. Comment on your results and discuss any problems that may arise using such hedging strategies. Also, explain any other methods that can be used to establish a more effective hedging strategy