期刊名称：International Journal of Hybrid Information Technology
印刷版ISSN：1738-9968
出版年度：2016
卷号：9
期号：5
页码：31-46
DOI：10.14257/ijhit.2016.9.5.04
出版社：SERSC
摘要：This paper first develops a new Markov regime-switching panel GARCH model (MSPG) for multi-futures hedging, which has two merits: First, the panel GARCH model is more parsimonious than multivariate GARCH model. Secondly, the MSPG model allowing for regime shifts which voids the spurious volatility persistence problem. In this article, two-state MSPG model is applied to study the multi-futures hedging, and the comparison of hedging performance with pure panel GARCH is made, which indicates that MSPG model outperforms pure panel GARCH model by superior hedging effectiveness.
