Hedging Effectiveness using MV GARCH Models ?

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Jan Reid

I assume that you have a time series of the values of the hedged and unhedged portfolios. If I were doing this project, I would use standard portfolio mathematics and write an Excel spreadsheet to do the calculations. You must remember that even in the best of circumstances GARCH models (unlike OLS models) are biased estimators. You clearly have some problem with the GARCH model if you are getting unrealistic results. The problem could be a shortage of observations, some mis-specification, etc.

Irfan,

Unfortunately, I no longer have the file. However, Bodie, Kane, and Marcus have an excellent discussion of portfolio mathematics. See "Investments", Third Edition, Bodie, Kane, and Marcus, pp. 150-155. Some useful formulas are given on the back inside cover.

Regards, Jan