The hedging performance for inverse ETF and volatility ETF—applying the Copula-GJR-GARCH model

• Main Authors: Lin, Jhan-Yuan, 林展源
• Other Authors: 林信助
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/542phs

碩士 === 國立政治大學 === 國際經營與貿易學系 === 107 === In recent years, inverse ETFs and volatility ETFs have become very popular instruments for the purpose of hedging and speculation. However, seldom did previous studies compare the hedging performance of those two instruments. Therefore, we attempt to construct two hedging portfolios with those two instruments, and employ the dynamic Copula-GJR-GARCH model to estimate the variation of returns and parameters of copula at each sample point, thereby obtaining the optimal hedging ratio more precisely. In order to analyze the difference between the frontier hedging model and the conventional OLS model from a relatively objective perspective, we evaluate the hedging performance of each portfolio by both the corresponding hedge effectiveness and the corresponding hedging utility. The empirical results show that all models embedded with a dynamic Copula function perform better than the conventional OLS model in terms of hedging utility, and the volatility ETF not only has greater hedging utility than the inverse ETF, but also has an advantage of lower hedging cost.