Hedging Ration

slashing hedgerow with Futures: A copula-based GARCH Model Chih-Chiang Hsu, Yaw-Huei Wang and Chih-Ping Tseng * ABSTRACT It has been present in a weigh of the antecedent studies that the traditional regression-based unmoving approach is inappropriate for hedge with futures, with the entrust that a configuration of alternative dynamic hedgerow strategies produce emerged. In this piece we apply a unsanded copula-based GARCH mannikin to the inclination of the optimal hedging ratio, and compare its effectiveness with that of other hedging models, including the naturalized static, the constant conditional correlation coefficient (CCC) GARCH and the dynamic conditional correlation (DCC) GARCH models. As regards the reduction of variance in the portfolio returns, our experimental results extract that in both the in-sample and out-of-sample tests, with full flexibility in the scattering specifications, the copula-based GARCH hedging model performed better than all of the other models. Keywords: GARCH; Copula; Hedging; Risk management JEL Classification: C52, G11, G13. * Chih-Chiang Hsu (the corresponding author) is at the department of economics at the issue Central University, chinaware; Yaw-Huei Wang and Chih-Ping Tseng are at the part of Finance at the theme Central University, Taiwan.

Address for correspondence: Chih-Chiang Hsu, Department of Economics, Management School, National Central University, No.300 Jhongda Road, Jhongli City, Taoyuan County 32001, Taiwan. Tel: +886 3422 7151 ext. 66308, Fax: +886 3422 2876, Email: cchsu@mgt.ncu.edu.tw. Dynamic Hedging with Futures: A Copula-b! ased GARCH Model ABSTRACT It has been demonstrated in a come of the prior studies that the traditional regression-based static approach is inappropriate for hedging with futures, with the result that a variety of alternative dynamic hedging strategies have emerged. In this paper we apply a new copula-based GARCH model to the estimation of the optimal hedging ratio, and...If you want to guide a full essay, launch it on our website: BestEssayCheap.com

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