Measuring the hedging effectiveness of index futures contracts: Do dynamic models outperform static models? A regime-switching approach
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Título
Measuring the hedging effectiveness of index futures contracts: Do dynamic models outperform static models? A regime-switching approachFecha de publicación
2015-07-06ISSN
0270-7314Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://onlinelibrary.wiley.com/doi/10.1002/fut.21598/fullVersión
info:eu-repo/semantics/submittedVersionPalabras clave / Materias
Resumen
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 ... [+]
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. [-]
Publicado en
Journal of Futures Markets, 2014, 34.4: 374-398Derechos de acceso
© 2013 Wiley Periodicals, Inc.
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info:eu-repo/semantics/openAccess
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