This article examines the performance of various hedge ratios estimated from
different econometric models: The FIEC-FIGARCH model is introduced as a new model
for estimating the hedge ratio. Utilized in this study are KOFEX futures data, along
with the ARFIMA-FIGARCH approach, the EC model, and the VAR model. Our analysis
identifies the prevalence of a fractional cointegration relationship. The effects of
incorporating such a relationship into futures hedging are investigated, as is the
relative performance of various models with respect to different hedge horizons.
학술대회/행사
학술대회안내
[2001년 제 3차] Currency Futures Hedging: Fractional Cointegration
작성자 : 관리자
조회수 : 1151
게시일 :
2003-07-12
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