Optimal Hedge Ratios Estimate :Comparison Among Alternative EWMA Method

• Main Authors: Mimg-Hsiu Hsu, 許名秀
• Other Authors: Chu-Hsiung Lin
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/65532171318311960987

碩士 === 國立高雄第一科技大學 === 風險管理與保險所 === 97 === This study applies the restricted least squares estimator(RLS),the absolute restricted least squares estimator(A-RLS), and Bias-Corrected EWMA model to estimate optimal hedge ratios for stock index futures. Using for stock index futures ,we compare the optimal hedge ratios and hedge performances with EWMA mode which under normal distribution and Power EWMA model which considers the distribution of assets return is leptokutic. Empirical result shows that the (1) Two stock index futures under any of models, using the hedge performances we can find Power EWMA model is the best. (2) There is no consistency between the hedge performances and various decay factors.