This paper studies the dynamism of the minimum variance hedge ratio (MVHR) with futures contracts on the IBEX-35 stock index. With the aim of considering the existence of conditional heterocedasticity, the use of GARCH bivariant models is suggested, in wich the existence of cointegration relationships between the cash and futures series is also considered. The main contribution of the research is the comparison between the effectiveness of this approach, from both the ex-post and the ex-ante points of view, and of other less sophisticated ones where the existence of heterocedasticity problems or cointegration relationships is not considered. The effectiveness is measured through the coverage effects on both the variance of the revenue of the covered position and on the utility level expected by the investor. The results obtained in the analysis ex-ante show that if transaction costs are considered, then dynamic hedges do not involve a substantial improvement of the utility for the hedger as compared to the static model.

Key words: dynamic hedging, GARCH Bivariant models, cointegration, effectiveness.
JEL classification: G10.