I want to implement minimum-VaR and minimum Variance Hedging strategies using commodity futures. please see attachment for min-VaR.
Econometric models to be used are:
OLS, Normal Mixture (static), Normal Mixture GARCH, Bivariate GARCH, Markov Regime Switching.
Kupic and Christoffersen test are also needed.
Comparison of Hedging effectiveness is required.