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