Comparative Study of Hedging Models in US
DOI:
https://doi.org/10.54097/hbem.v10i.8049Keywords:
Hedging; US; DCC; CCC.Abstract
This study focuses on the use of three dynamic hedging models in the American stock market, and it computes the dynamic correlation coefficient, dynamic hedging ratio, and hedging effectiveness of three common models (DCC, BEKK, CCC). This paper fills in the gaps in the application and comparison of three hedging models commonly used in the US stock market during the pandemic. The results showed that NASDAQ index and futures were highly correlated and had significant volatility spillover effect before and during the epidemic. The hedging efficiency of the three models before the epidemic was higher than 0.931, and the hedging efficiency of the three models during the epidemic was higher than 0.936. It is proved that futures hedging is a good way to avoid risk no matter before or during the epidemic, and the highest hedging efficiency is dcc-garch.
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