Modeling Volatility Spillover and Hedging VIX ETN with SPY

• Main Authors: Guan-Lin Luo, 駱冠霖
• Other Authors: 張嘉玲
• Format: Others
• Language: zh-TW
• Published: 2017
• Online Access: http://ndltd.ncl.edu.tw/handle/tej65x

碩士 === 國立中興大學 === 應用經濟學系所 === 105 === In recent years, the increasing frequency of Black Swan Events has made investors attach more importance to risk management, and also facilitated diverse development of assets for hedging, among which VIX ETPs linked to volatility risk is the most popular. According to the past researches we could find that there are many characteristics in different types of VIX ETPs; however, few studies focused on the hedging effect of portfolios of different types of VIX ETN and SPY. This paper mainly focuses on the risk spillover and hedging effect of the portfolios of VIX ETN and SPY. Under Diagonal BEKK model, first we analyze if VIX ETN is the dynamic hedging instrument of SPY through Partial co-volatility spillovers. Secondly, make three different portfolios using SPY with direct ETN (VXX), inverse ETN (ZIV), or leveraged ETN (TVIX). These three portfolios are (1) SPY, ZIV and TVIX, (2) SPY, VXX and TVIX, (3) SPY, VXX and ZIV. Finally, analyze the hedging effect of the three portfolios with optimal hedge ratio. The results show as the following: (1) VXX, TVIX, and ZIV can all be the hedging instrument of SPY. (2) Leveraged ETN TVIX can best avoid assets for hedged, SPY, as a hedging instrument among the portfolios of SPY, ZIV, and TVIX. (3) Leveraged ETN TVIX can best avoid assets for hedged, SPY, as a hedging instrument among the portfolios of SPY, VXX, and TVIX. (4) Direct ETN VXX can best avoid assets for hedged, SPY, as a hedging instrument to among the portfolios of SPY, VXX and ZIV.