S&P 500

NIKKEI 225

Mean return

Variance

VI(%)

Daily utility

VaR(5%)

Mean return

Variance

VI(%)

Daily utility

VaR(5%)

Panel A: In-sample hedging effectiveness

Unhedged

−0.0037

1.8534

N/A

−7.4173

−2,239,521

−0.0235

2.6139

N/A

−10.4791

−2,659,567

Naïve

0.0004

0.0781

95.7861

−0.3120

−459,764

<0.0001

0.2826

89.1886

−1.1304

−874,446

OLS

0.0002

0.0766

95.8670

−0.3062

−455,371

−0.0020

0.2619

89.9805

−1.0496

−841,916

DCC-G

−0.0010

0.0795

95.7106

−0.3190

−463,773

−0.0048

0.2629

89.9422

−1.0564

−843,400

DCC-C

0.0003

0.0752

95.9426

−0.3005

−451,182

0.0006

0.2549

90.2483

−1.0190

−830,552

MS-DCC-G

−0.0010

0.0794

95.7160

−0.3186

−463,670

−0.0028

0.2490

90.4740

−0.9988

−820,873

MS-DCC-C

0.0007

0.0749

95.9588

−0.2989

−450,144

0.0011

0.2489

90.4778

−0.9945

−820,776

Panel B: Out-of-sample hedging effectiveness

Unhedge

0.0731

1.1003

N/A

−4.3281

−1,725,564

−0.0068

2.0418

N/A

−8.1740

−2,350,555

Naïve

0.0001

0.0353

96.7918

−0.1411

−308,877

0.0002

0.0749

96.3317

−0.2994

−450,337

OLS

0.0020

0.0350

96.8190

−0.1380

−307,844

−0.0004

0.0971

95.2444

−0.3888

−512,638

DCC-G

0.0017

0.0344

96.8736

−0.1359

−305,100

−0.0002

0.0821

95.9790

−0.3286

−471,281

DCC-C

0.0009

0.0346

96.8554

−0.1375

−305,866

0.0023

0.0835

95.9105

−0.3317

−475,393

MS-DCC-G

−0.0034

0.0392

96.4373

−0.1602

−325,763

−0.0003

0.0790

96.1309

−0.3163

−462,437

MS-DCC-C

0.0002

0.0334

96.9645

−0.1334

−300,678

0.0003

0.0787

96.1456

−0.3145

−461,597