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• W2752878024 abstract "This study attempts to study and suggest an optimal hedge ratio to Indian investors and traders by examining the three main indices of National Stock Exchange of India (NSE), namely, NIFTY, Bank NIFTY, and IT NIFTY, over the sample period from January 2011 to December 2015. The present study estimated the hedge ratio through six econometric models, namely, OLS, GARCH, EGARCH, TARCH, VAR, and VECM, in the minimum variance hedge ratio framework as suggested by Ederington (1979). The findings of the present study confirm the theoretical properties of Indian cash and futures market and suggest that the optimal hedge ratio estimated through EGARCH model was lowest for the NIFTY and Bank NIFTY, and that for IT NIFTY, the OLS model shows the lowest optimal hedge ratio as compared to that estimated through other models." @default.
• W2752878024 created "2017-09-15" @default.
• W2752878024 creator A5081233755 @default.
• W2752878024 date "2017-09-04" @default.
• W2752878024 modified "2023-09-25" @default.
• W2752878024 title "Estimating Optimal Hedge Ratio and Hedging Effectiveness in the NSE Index Futures" @default.
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• W2752878024 doi "https://doi.org/10.1177/2278682117715358" @default.
• W2752878024 hasPublicationYear "2017" @default.
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