| S&P 500 | NIKKEI 225 | |||||||||||||
Mean return | Semi- variance | Semi-VI (%) | Semi-daily utility | VaR(5%) | Mean return | Semi- Variance | Semi- VI(%) | Semi-daily utility | VaR(5%) | ||||||
Panel A: Short hedger | |||||||||||||||
Unhedged | 0.0731 | 0.5939 | N/A | −2.3024 | −1,194,596 | −0.0068 | 1.1538 | N/A | −4.6221 | −1,773,792 | |||||
Naïve | 0.0001 | 0.0168 | 97.1712 | −0.0670 | −213,003 | 0.0002 | 0.0416 | 96.3945 | −0.1662 | −335,294 | |||||
OLS | 0.0020 | 0.0169 | 97.1544 | −0.0657 | −212,001 | −0.0004 | 0.0547 | 95.2591 | −0.2194 | −385,278 | |||||
DCC-G | 0.0017 | 0.0166 | 97.2049 | −0.0647 | −210,223 | −0.0002 | 0.0483 | 95.8138 | −0.1933 | −361,636 | |||||
DCC-C | 0.0009 | 0.0167 | 97.1881 | −0.0660 | −211,793 | 0.0023 | 0.0474 | 95.8918 | −0.1874 | −355,963 | |||||
MS-DCC-G | −0.0034 | 0.0212 | 96.4304 | −0.0883 | −243,103 | −0.0003 | 0.0456 | 96.0478 | −0.1826 | −351,438 | |||||
MS-DCC-C | 0.0002 | 0.0162 | 97.2722 | −0.0647 | −209,414 | 0.0003 | 0.0455 | 96.0565 | −0.1816 | −350,515 | |||||
Panel B: Long hedger | |||||||||||||||
Unhedge | 0.0731 | 0.5939 | N/A | −2.3024 | −1,194,596 | 0.0068 | 1.1538 | N/A | −4.6221 | −1,773,792 | |||||
Naïve | −0.0001 | 0.0184 | 96.9018 | −0.0737 | −223,263 | −0.0002 | 0.0332 | 97.1226 | −0.1330 | −299,933 | |||||
OLS | −0.0020 | 0.0180 | 96.9692 | −0.0741 | −222,866 | 0.0004 | 0.0422 | 96.3425 | −0.1683 | −337,445 | |||||
DCC-G | −0.0017 | 0.0177 | 97.0197 | −0.0726 | −220,763 | 0.0002 | 0.0336 | 97.0879 | −0.1344 | −301,501 | |||||
DCC-C | −0.0009 | 0.0178 | 97.0029 | −0.0721 | −220,285 | −0.0023 | 0.0359 | 96.8885 | −0.1460 | −314,057 | |||||
MS-DCC-G | 0.0034 | 0.0179 | 96.9860 | −0.0682 | −216,717 | 0.0003 | 0.0333 | 97.1139 | −0.1329 | −299,909 | |||||
MS-DCC-C | −0.0002 | 0.0171 | 97.1207 | −0.0686 | −215,350 | −0.0003 | 0.0331 | 97.1312 | −0.1327 | −299,584 | |||||