| 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 |