Multiscale Hedging with Crude Oil Futures Based on EMD Method

Table 6

Out-of-sample minimum-variance hedging.

	HR	CVaR	Variance	Returns	Utility^a
Panel A: constant hedge ratio and hedging performance
Original	0.6372	3.6024	1.4443	0.0016	−4.3314
Short	0.5638	3.5192	1.4948	−0.0265	−4.5107
Medium	0.6422	1.0791	0.1782	0.0081	−0.5264
Long	1.0155	0.4072	0.0547	0.0755	−0.0887
Panel B: dynamic hedge ratio and hedging performance
Original	0.6517	3.6082	1.4424	0.0030	−4.3243
Short	0.5826	3.5481	1.4937	−0.0279	−4.5089
Medium	0.7472	1.0958	0.1819	0.0071	−0.5385
Long	0.9018	0.3619	0.0457	0.0437	−0.0934

The utility is calculated by equation , where A is risk aversion level; by referring to Colon et al. [5], we set a moderate risk aversion level (A = 6).