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- Wed Feb 24, 2021 1:43 am
- Forum: ARCH and GARCH Models
- Topic: VAR AGARCH model (optimal weight, hedge ratio and Hedging )
- Replies: 16
- Views: 42545
Re: VAR AGARCH model (optimal weight, hedge ratio and Hedgi
Dear Tom I want to estimate the hedge ratios and portfolio weights between three variables: conventional stock, shariah stock and currency. Following your earlier post (the hedges ratios), I am successful with setting the hedge ratios. However, I still have problems as below: 1. put the hedge ratios...