The Dynamic Hedging Effectiveness for Soybean Farmers of Mato Grosso with Futures Contracts of BM&F
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Dynamic hedging effectiveness for soybean farmers in Rondonópolis (MT) with
futures contracts of BM&F is calculated through optimal hedge determination, using the
bivariate GARCH BEKK model, which considers the conditional correlations of the prices
series, comparing the results with the minimum variance model effectiveness, calculated by
OLS, the unhedged and the naïve hedge positions. The financial effectiveness of the dynamic
hedge model is superior and can be used by farmers for several decision making purposes
such as price discovery, hedging calibration, cash flow projections, market timing, among
others.