Dynamic hedging performance with the evaluation of multivariate GARCH models: evidence from KOSTAR index futures
Gyu-Hyen Moon,
Wei-Choun Yu () and
Chung-Hyo Hong
Applied Economics Letters, 2009, vol. 16, issue 9, 913-919
Abstract:
This article examines the hedging performance of the conventional Ordinary Least Squares (OLS) model and a variety of dynamic hedging models for the in-sample and out-of-sample periods of Korean daily Korea Securities Dealers Automated Quotation (KOSDAQ) STAR (KOSTAR) index futures. We employ the rolling OLS and various popular multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models to estimate and forecast the conditional covariances and variances of KOSTAR spot and futures returns. This article finds that dynamic hedging methods outperform the conventional method for the out-of-sample period. However, the simple rolling OLS is superior to all the other popular multivariate GARCH models.
Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (5)
Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:16:y:2009:i:9:p:913-919
Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20
DOI: 10.1080/17446540802314527
Access Statistics for this article
Applied Economics Letters is currently edited by Anita Phillips
More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().