標題: | THE INCREMENTAL VALUE OF A FUTURES HEDGE USING REALIZED VOLATILITY |
作者: | Lai, Yu-Sheng Sheu, Her-Jiun 管理科學系 Department of Management Science |
公開日期: | 1-九月-2010 |
摘要: | A number of prior studies have developed a variety of multivariate volatility models to describe the joint distribution of spot and futures, and have applied the results to form the optimal futures hedge. In this study, the authors propose a new class of multivariate volatility models encompassing realized volatility (RV) estimates to estimate the risk-minimizing hedge ratio, and compare the hedging performance of the proposed models with those generated by return-based models. In an out-of-sample context with a daily rebalancing approach, based on an extensive set of statistical and economic performance measures, the empirical results show that improvement can be substantial when switching from daily to intraday. This essentially comes from the advantage that the intraday-based RV potentially can provide more accurate daily covariance matrix estimates than RV utilizing daily prices. Finally, this study also analyzes the effect of hedge horizon on hedge ratio and hedging effectiveness for both the in-sample and the out-of-sample data. (C) 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:874-896,2010 |
URI: | http://dx.doi.org/10.1002/fut.20444 http://hdl.handle.net/11536/14090 |
ISSN: | 0270-7314 |
DOI: | 10.1002/fut.20444 |
期刊: | JOURNAL OF FUTURES MARKETS |
Volume: | 30 |
Issue: | 9 |
起始頁: | 874 |
結束頁: | 896 |
顯示於類別: | 期刊論文 |