Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH

被引：353

作者：

Abul Basher, Syed ^{[1
,2
]}

Sadorsky, Perry ^{[3
]}

机构：

[1] East West Univ, Dept Econ, Dhaka, Bangladesh

[2] Fikra Res & Policy, POB 2664, Doha, Qatar

[3] York Univ, Schulich Sch Business, 4700 Keele St, Toronto, ON M3J 1P3, Canada

来源：

ENERGY ECONOMICS | 2016年 / 54卷

关键词：

Emerging market stock prices; DCC-GARCH; GO-GARCH; Oil prices; Hedging; DYNAMIC CONDITIONAL CORRELATION; VOLATILITY SPILLOVERS; MODELING VOLATILITY; CRUDE-OIL; COMMODITY; TRANSMISSION; RETURN; FINANCIALIZATION; ETHANOL; ENERGY;

D O I：

10.1016/j.eneco.2015.11.022

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

While much research uses multivariate GARCH to model volatility dynamics and risk measures, one particular type of multivariate GARCH model, GO-GARCH, has been underutilized. This paper uses DCC, ADCC and GO-GARCH to model volatilities and conditional correlations between emerging market stock prices, oil prices, VIX, gold prices and bond prices. A rolling window analysis is used to construct out-of-sample one-step-ahead forecasts of dynamic conditional correlations and optimal hedge ratios. In most of the situations we study, oil is the best asset to hedge emerging market stock prices. Hedge ratios from the ADCC model are preferred (most effective) for hedging emerging market stock prices with oil, VIX, or bonds. Hedge ratios estimated from the GO-GARCH are most effective for hedging emerging market stock prices with gold in some instances. These results are reasonably robust to choice of model refits, forecast length and distributional assumptions. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：235 / 247

页数：13