Estimation of optimal coverage levels for static and dynamic investment portfolios and with conditional variance. Evidence in emerging countries
Original title: Estimación de niveles óptimos de cobertura para portafolios de inversión estáticos, dinámicos y con varianza condicional. Evidencia en países emergentes
- Alicia Galindo Manrique,
- ,
- Martha del Pilar Rodríguez García
- Instituto Tecnológico y de Estudios Superiores de Monterrey,
- ,
- Universidad Autonoma de Nuevo Leon
Research Output:
Contribution to journal
Article
Peer-review
Open access
Publication metrics
Metrics
Download statistics
Download count
73
Abstract
The purpose of portfolio theory is to optimize the selection of a finite number of financial assets. This technique is a very versatile tool that allows institutional investors evaluate the creation of wealth, diminishing market volatility.
This research compares the efficient hedge ratio and the optimal hedge ratio between three models: traditional ordinary least squares, least squares with mobile windows of time and GARCH model. The data employed in this study comprises monthly observations on the MSCI Emerging Market Index, as the spot, and the futures of gold during 2010 to 2018. Our findings reveal that the dynamic model with mobile windows has the grater efficient in hedging and the lowest volatility than the GARCH model
This research compares the efficient hedge ratio and the optimal hedge ratio between three models: traditional ordinary least squares, least squares with mobile windows of time and GARCH model. The data employed in this study comprises monthly observations on the MSCI Emerging Market Index, as the spot, and the futures of gold during 2010 to 2018. Our findings reveal that the dynamic model with mobile windows has the grater efficient in hedging and the lowest volatility than the GARCH model
Publication Information
Output type
Research Output:
Contribution to journal
Article
Peer-reviewOriginal language
SpanishPages from-to (Number of pages)
Pages 43-59 (17 pages)Journal (Volume, Issue Number)
VinculaTégica EFANPublication milestones
- Published - 31/07/2019
Publication status
Published - 31/07/2019