IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v16y2009i9p913-919.html
   My bibliography  Save this article

Dynamic hedging performance with the evaluation of multivariate GARCH models: evidence from KOSTAR index futures

Author

Listed:
  • Gyu-Hyen Moon
  • Wei-Choun Yu
  • Chung-Hyo Hong

Abstract

This article examines the hedging performance of the conventional Ordinary Least Squares (OLS) model and a variety of dynamic hedging models for the in-sample and out-of-sample periods of Korean daily Korea Securities Dealers Automated Quotation (KOSDAQ) STAR (KOSTAR) index futures. We employ the rolling OLS and various popular multivariate Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models to estimate and forecast the conditional covariances and variances of KOSTAR spot and futures returns. This article finds that dynamic hedging methods outperform the conventional method for the out-of-sample period. However, the simple rolling OLS is superior to all the other popular multivariate GARCH models.

Suggested Citation

  • Gyu-Hyen Moon & Wei-Choun Yu & Chung-Hyo Hong, 2009. "Dynamic hedging performance with the evaluation of multivariate GARCH models: evidence from KOSTAR index futures," Applied Economics Letters, Taylor & Francis Journals, vol. 16(9), pages 913-919.
    • Handle: RePEc:taf:apeclt:v:16:y:2009:i:9:p:913-919
    DOI: 10.1080/17446540802314527
    as

    Download full text from publisher

    File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/17446540802314527&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/17446540802314527?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Jitmaneeroj, Boonlert, 2018. "The effect of the rebalancing horizon on the tradeoff between hedging effectiveness and transaction costs," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 282-298.
    2. Caporin, Massimiliano, 2013. "Equity and CDS sector indices: Dynamic models and risk hedging," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 261-275.
    3. Cho, Jae-Beom & Min, Hong-Ghi & McDonald, Judith Ann, 2020. "Volatility and dynamic currency hedging," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
    4. Liu, Xiaochun & Jacobsen, Brian, 2011. "The Dynamic International Optimal Hedge Ratio," MPRA Paper 35260, University Library of Munich, Germany.
    5. Umar, Zaghum & Hussain Shahzad, Syed Jawad & Kenourgios, Dimitris, 2019. "Hedging U.S. metals & mining Industry's credit risk with industrial and precious metals," Resources Policy, Elsevier, vol. 63(C), pages 1-1.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:16:y:2009:i:9:p:913-919. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.