Dynamic optimal hedge ratios: Evidence from Asian stock futures markets
In this thesis, two multivariate conditional volatility models are applied to evaluate the performance of optimal hedge ratios (OHRs) in minimizing the exposure from holding positions in the underlying stock markets. The OHRs were calculated for four distinct strategies: i) a “static” hedge ratio obtained by constant OLS; ii) a rolling OLS hedge; iii) a dynamic hedge based on a constant conditiona