Table 4: Statistical description of time-varying hedge ratios of futures contracts with different maturities.

Hedge ratiosMean Standard deviationMaximum Minimum

0.82790.10361.24210.4015
0.84230.10451.26120.4168
0.86190.10501.27160.4144
0.92710.10971.36900.4792
0.97760.12001.45960.4892