Análise de hedge entre índices de commodities e índice de ações através do DCC-GARCH

Abstract

The main goal of this dissertation is to analyze the performance of S&P Goldman Sachs Commodity Index and its subindices as hedge to S&P500 index during the period between 1999 and 2017, especially during the crisis moments of financial market. To estimate conditional correlation between the indexes through time Engle s DCC-GARCH model was applied. From the estimated values, graphic analysis were made and hedge metrics were calculated both related to assess the hedge of a financial asset to another. It was found that conditional correlations between commodity and S&P500 indexes has quite increased from 2004 onwards, when the commodities financialization phenomenon has begun, and had two moments of inflection in 2008: a strong fall before the subprime crisis outbreak and a substantial ascension after. Years later, conditional correlations had increased again, lesser than in 2008, after commodities price bust in 2014 s second half. The Precious Metals subindex has served as hedge to S&P500 index during most part of the time, has served as safe haven during 2008 s subprime crisis and also has registered the lowest hedge s average cost while the Industrial Metals subindex had the worst hedging performance and was the most expensive hedging alternative.