Minimum variance hedging with bivariate regime-switching model for WTI crude oil

被引：17

作者：

Hung, Jui-Cheng ^{[1
]}

Wang, Yi-Hsien ^{[1
]}

Chang, Matthew C. ^{[2
]}

Shih, Kuang-Hsun ^{[1
]}

Kao, Hsiu-Hsueh ^{[3
]}

机构：

[1] Chinese Culture Univ, Dept Banking & Finance, Taipei 11114, Taiwan

[2] Hsuan Chuang Univ, Dept Finance & Banking, Hsinchu 300, Taiwan

[3] Tamkang Univ, Dept Business Adm, Tamsui 25137, Taipei County, Taiwan

来源：

ENERGY | 2011年 / 36卷 / 05期

关键词：

Four-regime bivariate Markov switching model; TVC-GARCH; In- and out-of-sample hedging performances; SPA test; AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY; TIME-SERIES; FUTURES; VOLATILITY; SHOCKS; RISK; MARKETS; RATES;

D O I：

10.1016/j.energy.2011.02.049

中图分类号：

O414.1 [热力学];

学科分类号：

摘要：

This paper proposes a four-regime bivariate Markov regime-switching model to estimate the daily time-varying minimum variance hedge ratios for West Texas Intermediate (WTI) crude oil, and evaluates its in- and out-of-sample hedging performances with two-regime model, CC-GARCH, TVC-GARCH, and OLS models. Empirical results reveal that the four-regime Markov switching model outperforms the other models for both in- and out-of-sample hedging performance. Based on Hansen's SPA test (2005), the four-regime model significantly outperforms the other models for only in-sample hedging. (C) 2011 Elsevier Ltd. All rights reserved.

引用

页码：3050 / 3057

页数：8

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