Interest‐Rate Volatility, Basis Risk and Heteroscedasticity in Hedging Mortgages
研究了普通最小二乘法在抵押贷款对冲比率估计中的有效性，发现直接对冲和交叉对冲均存在显著异方差和非线性，并提出了Box-Cox变换和ARCH模型等替代方法。
This paper investigates the validity of the OLS regression to estimate the hedge ratio for mortgages (GNMA) and provides alternative methodologies. In particular, this paper is concerned with the variance structure (conditional and unconditional heteroscedasticities) and the misspecification (nonlinearities) of the simple linear regression model for direct as well as cross‐hedging. Using data on spot prices of GNMA and futures prices of GNMAs and T‐bills for the period September 1979 to January 1985, we show that there exists significant heteroscedasticity particularly for cross‐hedging, and nonlinearity between cash and futures prices for direct as well as cross‐hedging. Alternative hedge ratio estimates are provided using the Box‐Cox transformation model and an autoregressive conditional heteroscedastic (ARCH) Model.