A Markov regime‐switching Cholesky GARCH model for directly estimating the dynamic of optimal hedge ratio

2021 ◽  
Author(s):  
Hsiang‐Tai Lee
Keyword(s):  
Regime Switching ◽  
Garch Model ◽  
Markov Regime Switching ◽  
Hedge Ratio ◽  
Optimal Hedge

scholarly journals A dynamic markov regime-switching asymmetric GARCH model and its cumulative impulse response function

2021 ◽  
Vol 16 (1) ◽  
pp. 2537-2559
Author(s):  
Gado SEMA ◽  
Mamadou Abdoulaye Konté ◽  
Abdou Kâ Diongue
Keyword(s):  
Impulse Response ◽  
Financial Market ◽  
Regime Switching ◽  
Impulse Response Function ◽  
Garch Model ◽  
Market Volatility ◽  
Markov Regime Switching ◽  
Proposed Model ◽  
Asymmetric Garch ◽  
Better Than

In this paper, we consider the Markov regime-switching GJR-GARCH(1,1) model to capture both the cumulative impulse response and the asymmetry of the dynamic behavior of financial market volatility in stationary and explosive states. The model can capture regime shifts in volatility between two regimes as well as the asymmetric response to negative and positive shocks. A Monte Carlo simulation is conducted to validate the main theory and find that the regime-switching GJR-GARCH model performs better than the standard GJR-GARCH model. Applications to Brazilian stock market data show that the proposed model performs well in terms of cumulative impulse response.

scholarly journals Time-Varying Optimal Hedge Ratio for Brent Oil Market

2015 ◽  
Vol 56 ◽  
pp. 103-106
Author(s):  
Mohsen Mehrara ◽  
Monire Hamldar
Keyword(s):  
Crude Oil ◽  
Garch Model ◽  
Time Varying ◽  
Oil Futures ◽  
Hedge Ratio ◽  
Oil Market ◽  
Hedging Ratio ◽  
Daily Data ◽  
Crude Oil Futures ◽  
Optimal Hedge

This paper examines the optimal hedging ratio (OHR) for the Brent Crude Oil Futures using daily data over the period 1990/17/8-2014/11/3. To estimate OHR, we employ multivariate BEKK MV-GARCH model. At last, the efficiency of this approach are compared with the constant OHR captured from OLS through Edrington's index.

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