Dynamic Hedging Portfolios - Application of Bivariate GARCH Models

• Autorzy: Piotr Fiszeder
• Języki publikacji: EN

Abstrakty

EN

In this article, firstly, performance of such strategy is analysed using futures contracts on WIG20 stock index quoted on the Warsaw Stock Exchange (WSE). Secondly, hedging performance of different specifications of GARCH models is compared. In most other studies only selected formulation is used. Thirdly, hedging effectiveness of an error correction model with a GARCH error structure is also investigated. Fourthly, methods used by practitioners of the financial market to forecast variances and covariances of returns are applied in estimating hedge ratios. The article is laid out in four sections. Section 2 outlines the competing methods of estimating hedge ratios. In Section 3 hedging performance of presented strategies is investigated using WIG20 stock index and futures contracts on WIG 20 index quoted on the WSE. Section 4 concludes.(fragment of text)

Słowa kluczowe

EN

Hedging; Portfolio hedging; GARCH model

PL

Hedging; Zabezpieczenie portfela akcji; Model GARCH

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2004
• Tom: 6
• Strony: 203--211

Twórcy

autor

Piotr Fiszeder

• Nicolaus Copernicus University in Toruń, Poland

Bibliografia

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