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Hedging with Futures: Multivariante Dynamic Conditional Correlation GARCH

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Market Risk and Financial Markets Modeling

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Abstract

In this paper, we apply three multivariate GARCH models for estimation of dynamic hedge ratios. We provide an empirical comparison of the effectiveness of those models in the Russian and foreign financial markets. Dynamics and interdependence between futures’ and spot prices of assets are captured by vector error correction models; volatilities and correlations are modeled by dynamic conditional correlation multivariate GARCH.

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Author information

Authors and Affiliations

  1. Tor Vergata University of Rome, Rome, Italy

    Aleksey Kolokolov

Authors
  1. Aleksey Kolokolov
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Correspondence to Aleksey Kolokolov .

Editor information

Editors and Affiliations

  1. Dept. Management,, Technologie und Ă–konomie, ETH ZĂĽrich, Kreuzplatz 5, ZĂĽrich, 8032, Switzerland

    Didier Sornette

  2. , Prognoz Risk Lab, Perm State University, Perm, Russia

    Sergey Ivliev

  3. , D-MTEC, ETH Zurich, Kreuzplatz 5, Zurich, 8032, Switzerland

    Hilary Woodard

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Kolokolov, A. (2012). Hedging with Futures: Multivariante Dynamic Conditional Correlation GARCH. In: Sornette, D., Ivliev, S., Woodard, H. (eds) Market Risk and Financial Markets Modeling. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-27931-7_9

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  • DOI: https://doi.org/10.1007/978-3-642-27931-7_9

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-27930-0

  • Online ISBN: 978-3-642-27931-7

  • eBook Packages: Business and EconomicsEconomics and Finance (R0)

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