Measuring the hedging effectiveness of index futures contracts: Do dynamic models outperform static models? A regime-switching approach
| Autor: | Vicent Aragó, Enrique Salvador |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2015 |
| Předmět: |
Dynamic hedging
Index (economics) Autoregressive conditional heteroskedasticity Futures indices Hedging Effectiveness Non-linear GARCH Stock market index Dynamic models Replicating portfolio Markov Regime Switching Econometrics Volatility (finance) Constant (mathematics) Asymmetric volatility Futures contract Mathematics |
| Zdroj: | Repositori Universitat Jaume I Universitat Jaume I |
| Popis: | This paper estimates linear and non-linear GARCH models to find optimal hedge ratios with futures contracts for some of the main European stock indexes. By introducing non-linearities through a regime-switching model, we can obtain more efficient hedge ratios and superior hedging performance in both in-sample and out-sample analysis compared with other methodologies (constant hedge ratios and linear GARCH). Moreover, non-linear models also reflect different patterns followed by the dynamic relationship between the volatility of spot and futures returns during low and high volatility periods. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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