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Hedge ratio on Markov regime-switching diagonal Bekk–Garch model
نرخ تامین روی مدل قطری تبدیل رژیم بک - گارچ-2018 Chinas stock market is known with quick change and violent fluctuation in recent years. This paper develops a Markov regime switching diagonal Bekk–Garch model, enabling parameters to be state dependent upon the regime of market. The empirical results show that different states exist. The high volatility regime has a lower state probability, while the low volatility regime has a higher state probability. The likelihood value show the regime-switching diagonal Bekk–Garch model fits the sample better. Both comparisons of hedge performance in and out-of-sample indicate that a regime-switching Bekk–Garch model is the optimal hedge strategy, followed by Bekk–Garch and OLS model.
keywords: Stock index futures| Hedge ratio| Regime-switching| Garch models |
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