کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7352076 1476980 2018 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Hedge ratio on Markov regime-switching diagonal Bekk-Garch model
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Hedge ratio on Markov regime-switching diagonal Bekk-Garch model
چکیده انگلیسی
China's stock market is known with quick change and violent fluctuation in recent years. This paper develops a Markov regime switching diagonal Bekk-Garch model, enabling parameters to be state dependent upon the regime of market. The empirical results show that different states exist. The high volatility regime has a lower state probability, while the low volatility regime has a higher state probability. The likelihood value show the regime-switching diagonal Bekk-Garch model fits the sample better. Both comparisons of hedge performance in and out-of-sample indicate that a regime-switching Bekk-Garch model is the optimal hedge strategy, followed by Bekk-Garch and OLS model.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 24, March 2018, Pages 49-55
نویسندگان
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