Application of Dynamic Hedging in Stock Index Futures

• Main Authors: Yu-Jung Wang, 王毓蓉
• Other Authors: Yuan-Hung Hsu Ku
• Format: Others
• Language: zh-TW
• Published: 2005
• Online Access: http://ndltd.ncl.edu.tw/handle/59868781384740552568

碩士 === 國立高雄第一科技大學 === 金融營運所 === 93 === This paper will refer to Engle’s dynamic correlation coefficient (DCC) model, basing on the minimum-variance hedging theory to investigate the direct hedging of spot and future in London FTSE-100 and Japan Nikkei225.It then applies the dynamic correlation coefficient theory to the estimation of hedge ratio and in comparison of the hedging effectiveness with the traditional OLS model, error correction model (ECM), CCC model, which assuming the correlation coefficient is fixed, and ICSS-GARCH model which further discussing the sudden shifts in volatility. As a result, the DCC model can not only observe the attribute of assets return volatility clustering, but also depict the dynamic correlation coefficient of spot and future while time lapsed. It can be concluded that DCC model hold a comparatively better hedging performance than other static or dynamic hedging models.