Proceedings of the 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)

Futures Hedging Effectiveness with the Information of Implied Volatility Index

Authors
Ming Fang, Chiu-Lan Chang, Sa Yan
Corresponding Author
Ming Fang
Available Online January 2017.
DOI
10.2991/icefs-17.2017.35How to use a DOI?
Keywords
Hedging Effectiveness, Implied Volatility, Multivariate GARCH
Abstract

This study outlines and compares approaches for estimating time-varying optimal hedge ratios with or without implied volatility on futures markets. These time-varying methods are applied to compare the outcomes using out-of-sample performance evaluations. The hedging performance for the models with IV outperfom the traditional models without IV under out-of-sample analysis. This finding is valuable in the sense that it suggests that the investors may need to adjust their hedging strategies using different hedging models and taking IV into account according to the trend or patterns of price movements.

Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)
Series
Advances in Economics, Business and Management Research
Publication Date
January 2017
ISBN
978-94-6252-311-1
ISSN
2352-5428
DOI
10.2991/icefs-17.2017.35How to use a DOI?
Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Ming Fang
AU  - Chiu-Lan Chang
AU  - Sa Yan
PY  - 2017/01
DA  - 2017/01
TI  - Futures Hedging Effectiveness with the Information of Implied Volatility Index
BT  - Proceedings of the 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017)
PB  - Atlantis Press
SP  - 296
EP  - 300
SN  - 2352-5428
UR  - https://doi.org/10.2991/icefs-17.2017.35
DO  - 10.2991/icefs-17.2017.35
ID  - Fang2017/01
ER  -