Multiscale Hedging with Crude Oil Futures Based on EMD Method
Table 1
Descriptive statistics of different scales for the futures and spot returns.
Scale
Mean
Sd
Skewness
Kurtosis
Jarque-Bera
(10)
Duration (day)
Futures
Original
0.0017
1.5208
−0.4694
11.1475
9467.20
369.26
Short
0.0257
1.4485
−0.1692
8.9098
4931.84
665.65
2.96
Medium
−0.0019
0.5183
−0.2795
3.9026
158.66
7856.96
21.11
Long
−0.0221
0.2209
−0.9265
6.3240
2038.38
32925.20
198.71
Spot
Original
0.0019
1.5409
−0.2962
10.9829
9018.84
302.66
Short
−0.0068
1.4683
−0.0961
8.7481
4655.61
384.63
2.96
Medium
0.0082
0.5300
−0.0381
4.8758
496.07
8992.21
22.67
Long
0.0005
0.2988
−1.2811
7.8007
4167.79
32438.47
211.13
“Original” denotes original data. The null hypothesis of Jarque-Bera statistic is the normal distribution. The asterisks ,, and denote rejection of the null hypothesis at 10%, 5%, and 1% significance levels, respectively. The duration represents the mean period of different scales.
