提高OLS模型套期保值性能的一种新方法

IF 0.4 Q4 BUSINESS, FINANCE
Chongwon Kim, Hyeonjong Jung, Hyoung-Goo Kang
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引用次数: 1

摘要

波动率指数期货对市场波动的敏感性随着市场风险的变化而变化。因此,在使用OLS(普通最小二乘法)模型用波动率指数期货对冲标准普尔500指数敞口的情况下,对冲比率受到风险偏好变化的影响,这反过来又有助于整体对冲绩效以及绩效分布的不对称性。传统的OLS方法不能在模型中有效地反映这一现象。在这项研究中,作者探索了一种提高OLS模型套期保值性能的新方法。他们在OLS模型中引入了波动率指数和波动率指数期货回报之间的交互项。他们发现,与单变量OLS模型相比,在平均收益和下行风险保护方面,新方法得出的套期保值比率提供了更好的套期保值结果,还改善了绩效分布的不对称性。他们扩展了他们的研究,将其与动态条件相关(DCC)-广义自回归条件异方差(GARCH)模型的性能进行了比较。新方法也显示出比DCC-GARCH方法更好的结果。他们在全球金融危机和新冠肺炎大流行的案例研究中,以及在将交易策略应用于每种对冲方法时,都获得了相同的结果。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A New Approach to Improving Hedging Performance in the OLS Model
The sensitivity of VIX futures to market movements changes over time with changes in market risk. Accordingly, in the case of using the OLS (ordinary least squares) model to hedge S&P 500 exposure with VIX futures, hedge ratios are affected by changes in risk appetite, which in turn contributes to the overall hedging performance as well as the asymmetry of the performance distribution. The conventional OLS approach does not effectively reflect this phenomenon in the model. In this study, the authors explore a new approach to improving hedging performance in the OLS model. They introduce an interaction term between the VIX and VIX futures returns into the OLS model. They find that the hedge ratios derived by the new approach provide better hedging results compared to the univariate OLS model in terms of mean return and downside risk protection, and also improve the asymmetry of the performance distribution. They extend their research to compare it with the performance of the dynamic conditional correlation (DCC)-generalized autoregressive conditional heteroskedasticity (GARCH) model. The new approach also shows better results than the DCC-GARCH approach. They obtain the same results in case studies of the Global Financial Crisis and the COVID-19 pandemic, and also in applying a trading strategy to each hedging methodology.
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来源期刊
CiteScore
1.50
自引率
14.30%
发文量
40
期刊介绍: The Journal of Alternative Investments (JAI) provides you with cutting-edge research and expert analysis on managing investments in hedge funds, private equity, distressed debt, commodities and futures, energy, funds of funds, and other nontraditional assets. JAI is the official publication of the Chartered Alternative Investment Analyst Association (CAIA®). JAI provides you with challenging ideas and practical tools to: •Profit from the growth of hedge funds and alternatives •Determine the optimal mix of traditional and alternative investments •Measure and track portfolio performance •Manage your alternative investment portfolio with proven risk management practices
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