Stock index futures hedging : Estimation of optimal hedge ration using three different models : Evidence for the FTSE 100 and FTDE mid 250 futures contracts
Part of : Αρχείον οικονομικής ιστορίας ; Vol.XVII, No.1, 2005, pages 79-92
Issue:
Pages:
79-92
Author:
Abstract:
My dissertation provides an investigation of the hedging effectiveness of the FTSE 100 and FTSE Mid 250, separate or together, stock index futures contracts. Portfolios are used comprising of four indexes. The four indexes are: FTSE 100, FTSE 250, FTSE 350 and FTSE ALL. A total of three different models will be discussed and compared to calculate the optimal hedge ratio. The sophistication of these models will increase progressively in order to improve the model and obtain the most accurate one. The final model that I suggest is the Error Correction Model (ECM).
Subject:
Subject (LC):
Keywords:
Stock index futures hedging, optimal hedge ratio, GARCH model, Error Correction Model, OLS method
Notes:
JEL classification: G14
