A Study of Dynamic and Static Hedging Performance in Stock Index Futures

• Main Authors: Pei-Chun Li, 李珮君
• Other Authors: Yuan-Hung Hsu Ku
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/19537392985785908086

碩士 === 國立高雄第一科技大學 === 金融營運所 === 94 === Abstract Under the framework of minimum-variance hedging theory, this study carries out the direct hedging between spot and futures by using the data in ME-S&P CANADA60 INDEX and CME-S&P500 INDEX. After estimating the hedging ratios of dynamic (containing BEKK and CCC models) and static hedging models (including OLS and ECM models), we also derive the effectiveness of hedging to make a comparison among these models. Due to the hedging ratio estimated by the BEKK model with time-varying and the correlation coefficient unlimited, our empirical results show that it can capture the phenomenon of volatility clustering and has less volatility persistence. To sum up, the BEKK model has better hedging performance than the others’ in this study.