VAR AGARCH model (optimal weight, hedge ratio and Hedging )

Discussions of ARCH, GARCH, and related models
curiousresearcher
Posts: 41
Joined: Sun May 19, 2019 9:56 pm

Re: VAR AGARCH model (optimal weight, hedge ratio and Hedgi

Unread post by curiousresearcher »

Thanks for the guidance here.
ndanila
Posts: 1
Joined: Mon Feb 22, 2021 12:07 am

Re: VAR AGARCH model (optimal weight, hedge ratio and Hedgi

Unread post by ndanila »

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 in table (pull out the hedge ratios)
2. write command for portfolio weights
3. put the weights in table (pull out the weights)

Your guidance is highly appreciated

Thank you

Nevi
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