The empirical study in the hedging effectiveness of T-bond futures
碩士 === 淡江大學 === 財務金融學系 === 86 === The goal of this study is to discuss the hedging effectiveness of the T-bond futures under several hedging models. These models are Naive, OLS, ECM, Bivariate GARCH, Bivariate GARCH-Week, Bivariate GARCH-Season.The data i...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
1998
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| Online Access: | http://ndltd.ncl.edu.tw/handle/22661284233362193192 |
| Summary: | 碩士 === 淡江大學 === 財務金融學系 === 86 === The goal of this study is to discuss the hedging effectiveness
of the T-bond futures under several hedging models. These models
are Naive, OLS, ECM, Bivariate GARCH, Bivariate GARCH-Week,
Bivariate GARCH-Season.The data is daily and weekly from 1990 to
1996.The hedging effectiveness is divided into in-sample and
out-sample. The in-sample one is from 1990 to 1995. The out-
sample one is on 1996. The hedging period of weekly data is
divided into one week, two weeks, and four weeks.
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