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I estimated an MGARCH-BEKK model (using the R package BEKK). (BEKK= Baba, Engle, Kraft and Kroner; see Engle and Kroner (1995)) on time series of spot and futures prices. The estimated parameters are:

    Variable     Estimate
1   mu1.Log_JC   2.99457396
2   mu2.Log_B3   3.08103107
3         A011   0.03492597
4         A021   0.03516761
5         A022   0.02004981
6          A11   0.89525941
7          A21  -0.03961965
8          A12   0.06131281
9          A22   0.99058994
10         B11   0.10101989
11         B21  -0.05279248
12         B12  -0.13836214
13         B22   0.00000100

Now, how to calculate the Optimal Hedge Ratio and the Hedge Efficiency with BEKK in R?

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  • $\begingroup$ Could you please restate your Question in english/Por favor reformular en ingles! $\endgroup$ – kjetil b halvorsen Aug 11 at 20:46
  • $\begingroup$ @kjetilbhalvorsen - It is Portuguese rather than Spanish. The introductory line is translated by Google Translate as "I have the result of the coefficients of the BEKK model:" and the final line as "How to create the optimal ratio and effectiveness of these coefficients?" $\endgroup$ – Henry Aug 11 at 21:11
  • $\begingroup$ Sorry. I need to calculate the Hedge Efficiency and Optimal Hedge Ratio for the future Market. $\endgroup$ – Everton Toledo Aug 11 at 22:03
  • $\begingroup$ @Everton Toledo: Can you please edit that into the original question? $\endgroup$ – kjetil b halvorsen Aug 11 at 22:11
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    $\begingroup$ If your only question is 'How do I _____ in R?', then it's most likely off topic here. You may have a statistical question, but you need to clarify what it is, if so. Alternatively, this may be a quantitative finance question, in which case we could possibly migrate it to the Quantitative Finance SE site, but it presumably needs to be clarified & sufficient context provided for that site as well. $\endgroup$ – gung Aug 11 at 23:35

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