Academic Journal
Comparative Analysis of Hedging Effectiveness in Indonesia’s National Electrical Company: An Evaluation of Ordinary Least Square (OLS), General Autoregressive Conditional Heteroskedasticity (GARCH) and Naïve Dollar-Offset Models
| العنوان: | Comparative Analysis of Hedging Effectiveness in Indonesia’s National Electrical Company: An Evaluation of Ordinary Least Square (OLS), General Autoregressive Conditional Heteroskedasticity (GARCH) and Naïve Dollar-Offset Models |
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| المؤلفون: | Asrudin, Rudi, Wibowo, Buddi |
| المصدر: | Quantitative Economics and Management Studies; Vol. 5 No. 4 (2024); 774-781 ; 2722-6247 ; 10.35877/454RI.qemsv5i4 |
| بيانات النشر: | PT Mattawang Mediatama Solution |
| سنة النشر: | 2024 |
| مصطلحات موضوعية: | exchange rate risk, OLS, GARCH, hedging ratio, hedging effectiveness |
| الوصف: | This study evaluates the hedging effectiveness of Indonesia’s national electrical company, PT PLN (Persero), by comparing Ordinary Least Squares (OLS), Generalized Autoregressive Conditional Heteroskedasticity (GARCH), and Dollar Offset models. Using transaction data from 2018-2023, the analysis shows that the OLS model explains 48.8% of the variance in forward rates, indicating high effectiveness. The GARCH model, while capturing dynamic volatility with an average effectiveness of 4.32%, demonstrates the need for advanced models in volatile conditions. The Dollar Offset method, despite its simplicity, shows a moderate effectiveness of 19.03%. Combining these methods can enhance hedging strategies, providing robust risk management. Future research should expand data sources and periods to further validate findings. |
| نوع الوثيقة: | article in journal/newspaper |
| وصف الملف: | application/pdf |
| اللغة: | English |
| Relation: | https://jurnal.ahmar.id/index.php/qems/article/view/2697/1824; https://jurnal.ahmar.id/index.php/qems/article/view/2697 |
| DOI: | 10.35877/454RI.qems2697 |
| الاتاحة: | https://jurnal.ahmar.id/index.php/qems/article/view/2697 https://doi.org/10.35877/454RI.qems2697 |
| Rights: | Copyright (c) 2024 Rudi Asrudin, Buddi Wibowo ; https://creativecommons.org/licenses/by-nc-sa/4.0 |
| رقم الانضمام: | edsbas.C526A087 |
| قاعدة البيانات: | BASE |
| DOI: | 10.35877/454RI.qems2697 |
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