Futures Hedging Effectiveness with the Information of Implied Volatility Index
Ming Fang, Chiu-Lan Chang, Sa Yan
Available Online January 2017.
- https://doi.org/10.2991/icefs-17.2017.35How to use a DOI?
- Hedging Effectiveness, Implied Volatility, Multivariate GARCH
- This study outlines and compares approaches for estimating time-varying optimal hedge ratios with or without implied volatility on futures markets. These time-varying methods are applied to compare the outcomes using out-of-sample performance evaluations. The hedging performance for the models with IV outperfom the traditional models without IV under out-of-sample analysis. This finding is valuable in the sense that it suggests that the investors may need to adjust their hedging strategies using different hedging models and taking IV into account according to the trend or patterns of price movements.
- Open Access
- This is an open access article distributed under the CC BY-NC license.
Cite this article
TY - CONF AU - Ming Fang AU - Chiu-Lan Chang AU - Sa Yan PY - 2017/01 DA - 2017/01 TI - Futures Hedging Effectiveness with the Information of Implied Volatility Index BT - 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017) PB - Atlantis Press SP - 296 EP - 300 SN - 2352-5428 UR - https://doi.org/10.2991/icefs-17.2017.35 DO - https://doi.org/10.2991/icefs-17.2017.35 ID - Fang2017/01 ER -