Evaluating the performance of futures hedging using multivariate realized volatility

Ubukata, Masato; Watanabe, Toshiaki

doi:10.1016/j.jjie.2015.07.001

Cited by 2 publications

(1 citation statement)

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“…One of the more popular models for future volatility forecasting is the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) Model (Bollerslev, et al, 1992). Recent studies by Dajcman, (2012), Erderington & Guan, (2013), and Ubukata & Watanabe, (2015) use conditional volatility models to measure the efficiency of conditional volatility using parametric measures like the DCC-EGARCH. The DCC-EGARCH and other multivariate GARCH models such as the diagonal VECH, the constant Conditional Correlation and the diagonal BEKK models all facilitate the analysis of spillover effects (see Brooks, 2014).…”

Section: Resultsmentioning

confidence: 99%

Canaries in the Coal Mine. The Tale of Two Signals: The Vix and the Move Indexes.

Budd¹

2017

Proceedings of the 8th Economics &Amp; Finance Conference, London

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Abstract:The purpose of this paper is to explore derived signals of the historical implied volatility measures between the U.S. equities market and the U.S. bond market using the VIX and MOVE Indices 2010-2015 respectively. This paper further examines the co-movement and dynamics (i.e. changes) within and between these markets. This empirical analysis finds implied volatility of the treasury market MOVE Index can forecast the implied volatility of the equities market (VIX), though not always reliably. The signals between the VIX and MOVE Indexes in the last ten years has changed and the gap between these markets has widened. A relationship not witnessed since the early days before the 2008 Global Financial Crisis. The contributing factor to this widening gap is the greater volatility experienced by the MOVE Index compared to its VIX counterpart heightened by the record-low global interest rates and lack of liquidity in the bond market. The implications of this research are important for strategic forecasting policy decision-makers and analysts alike.

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Section: Resultsmentioning

confidence: 99%

Canaries in the Coal Mine. The Tale of Two Signals: The Vix and the Move Indexes.

Budd¹

2017

Proceedings of the 8th Economics &Amp; Finance Conference, London

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Dynamic hedging performance and downside risk: Evidence from Nikkei index futures

Ubukata

2018

International Review of Economics & Finance

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Evaluating the performance of futures hedging using multivariate realized volatility

Cited by 2 publications

References 59 publications

Canaries in the Coal Mine. The Tale of Two Signals: The Vix and the Move Indexes.

Canaries in the Coal Mine. The Tale of Two Signals: The Vix and the Move Indexes.

Dynamic hedging performance and downside risk: Evidence from Nikkei index futures

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