Evaluate the DCC-GARCH and Realized-GARCH model hedging performance
2013
Hochschulschrift
Zugriff:
101
In this paper, we used the data from Chicago Mercantile Exchange which trades S&P 500 futures prices and spot prices as the main object of study. The researching period was from 1 January 2002 to 31 December 2008 ended, in which the in-the-sample period was set in 1 January 2002 to 31 December 2006, and the out-of-sample heding period was set in 1 January 2007 to 31 December 2008, using the rolling windows method to estimate it .The paper used the various methods to evaluate the out-of-sample hedging performance under the hedging models : Realized variance、Bi-power realized variance and Tri-power realized variance, these methods were the Variance、Semi-variance、Utility function、VaR、CVaR and Economic value. The empirical results showed that : 1.Under the out-of-sample hedging performance period, the DCC-Realized-GARCH-RV30 hedging model worked best both in statistical analysis and economic analysis. 2.And then the paper considered the transaction cost, in order to be close to the reality, we used the Utility function to evaluate the hedging performance and Economic value. In the end, only the DCC-Realized-GARCH-RBV30 hedging model was superior to DCC-GARCH hedging model, and had the positive Economic value under the long hedge, hence, the conclusion was inconsistent with the circumstance which did not consider the transaction cost. Transaction cost were therefore considered not feasible in practice, because in practice it could not adjust hedge ratio daily.
Titel: |
Evaluate the DCC-GARCH and Realized-GARCH model hedging performance
|
---|---|
Autor/in / Beteiligte Person: | Wu, Chih-Pei ; 伍智培 |
Link: | |
Veröffentlichung: | 2013 |
Medientyp: | Hochschulschrift |
Sonstiges: |
|