This paper analyses the performance of commodity cross-hedging of aviation turbine fuel (ATF) price exposures with crude oil and Brent oil futures for the Indian aviation industry. Models that were estimated using three alternative techniques of ordinary least squares (OLS), error correction models (ECMs), and autoregressive conditional heteroskedastic (ARCH) showed that Brent crude oil futures had the highest cross-hedging efficiency. Further, the variances of the profit and loss (P&L) series and value at risk (VAR) associated with alternative hedging strategies – including a composite hedge of crude oil and Brent oil futures – showed that although hedging is redundant for domestic operations, composite hedging for imported ATF prices could substantially lower the VAR compared to all other alternatives from imported and domestic operations.

本文分析了印度航空业用原油和布伦特原油期货对航空涡轮机燃料（ATF）价格敞口进行商品交叉对冲的表现。使用普通最小二乘（OLS），纠错模型（ECM）和自回归条件异方差（ARCH）三种替代技术估算的模型显示，布伦特原油期货的交叉套期保值效率最高。此外，与其他套期保值策略（包括原油和布伦特原油期货的复合套期保值）相关的损益（P＆L）系列和风险价值（VAR）的方差表明，尽管套期保值对国内业务而言是多余的，但复合套期保值与进口和国内运营的所有其他替代品相比，进口ATF的价格可能会大大降低VAR。