Stock index hedging using a trend and volatility regime-switching model involving hedging cost

详细信息    查看全文

• 作者：EnDer Su ; ^{suender@ccms.nkfust.edu.tw}
• 关键词：Stock index ; Regime switch ; White reality test ; Hedging ratio ; Hedge cost
• 刊名：International Review of Economics & Finance
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：47
• 期：Complete
• 页码：233-254
• 全文大小：1092 K
• 卷排序：47

文摘

Stock index risk hedging is analyzed considering hedging cost. Both trend of returns and volatility are estimated using regime-switching error correction GARCH model. The White test favors the regime-switching models in prediction. The regime-switching models have higher wealth increase while regression models have better variance decrease. The best hedging time is when both spot and futures are in down state.