Volatility Model based GARCH Minimum Variance Hedging

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F18%3A10239857" target="_blank" >RIV/61989100:27510/18:10239857 - isvavai.cz</a>
Result on the web
<a href="https://munispace.muni.cz/library/catalog/view/1016/3151/797-1" target="_blank" >https://munispace.muni.cz/library/catalog/view/1016/3151/797-1</a>
DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Volatility Model based GARCH Minimum Variance Hedging
Original language description
In the risk management, volatility as the important parameter for estimation in the issue of hedging. Volatility model is the regression based forecasting model. GARCH (Generalized Autoregressive Conditional Heteroscedasticity) model is one of volatility model, it presents the variance rate at the current time step is a weighted average of a constant long run average variance rate, the variance rate at the previous time steps and the most recent information about the variance rate. Hence, there are many literatures supposed to use the GARCH minimum variance hedging the financial derivatives. Thus, the bivariate GARCH model provides a superior performance to other dynamic or constant hedge for financial derivatives. In the paper, it estimates the minimum variance hedge based on an advanced econometric model (GARCH model) with time varying minimum variance hedge.
Czech name
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Czech description
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Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
European Financial Systems 2018 : proceedings of the 15th international scientific conference : June 25-26, 2018, Brno, Czech Republic
ISBN
978-80-210-8980-8
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
147-153
Publisher name
Masarykova univerzita
Place of publication
Brno
Event location
Brno
Event date
Jun 25, 2018
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000462948800018

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