T w o recent studies [Hill and Schneeweis (H&S) (forthcoming) and Dale (1981)l
A note on the hedging effectiveness of GARCH models
β Scribed by Donald Lien
- Book ID
- 113664256
- Publisher
- Elsevier Science
- Year
- 2009
- Tongue
- English
- Weight
- 117 KB
- Volume
- 18
- Category
- Article
- ISSN
- 1059-0560
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
In a recent paper, Kuo and Chen (1995) propose a simplification of the Howard and D'Antonio (1984, 1987) model of hedging effectiveness. This note extends Kuo-Chen's suggested simplification to derive the optimal hedge ratio and second order conditions (SOCs) of the Howard-D'Antonio model. These SOC
2Cecchetti, Cumby, and Figlewski (1988) apply ARCH in estimating an optimal futures hedge with Treasury bonds. Baillie and Myers (199 1) and Myers (1991) examine commodity futures and report improvements in hedging performance over the constant hedge approach by following a dynamic strategy based o
## Abstract In this article, we study the empirical performance of the GARCH option pricing model relative to the ad hoc BlackβScholes (BS) model of Dumas, Fleming, and Whaley. Specifically, we investigate the empirical performance of the option pricing model based on the exponential GARCH (EGARCH)