HEDGE DINÂMICOS: UMA EVIDÊNCIA PARA OS CONTRATOS FUTUROS BRASILEIROS

The farming sector is changing, growing and occupying a position of prominence in the economy. These transformations start todemand a bigger concern with the management of risks of the activity. In this direction, the contracts traded at BM&F had becomeefficient instruments in the reduction of the market risk, through an operation called hedge. However, there is still the necessity ofimproving of the econometrical techniques for the estimation of the optimal hedge ratio, therefore, it is observed in the brazilianliterature that the majority of the works doesn’t consider some aspects of the behavior of the series of returns. Thus, the present workseeks to analyze two methods for the calculation of these hedge optimal ratio, the conventional model of regression and the bivariateGARCH BEKK model that considers the conditional correlations of the series. The preliminary analysis of the results indicates thatthe hedge optimal ratio is not constant through time, suggesting that the use of models that consider the time dependence of the seriesis more realistic. The methodology is applied to the prices of the beef cattle commodity.