Use of high‐frequency data to evaluate the performance of dynamic hedging strategies
针对广义自回归条件异方差模型对冲表现结果不一的问题，采用渐近设定比较不同对冲比率，发现代理变量质量差时投资者可能选错模型。
Abstract The hedging performance results of generalized autoregressive conditional heteroskedasticity models are mixed; we address this herein by adopting an asymptotic setting to determine the relative performance of competing hedge ratios. The proxy variable is constructed through precise realized measures rather than through noisy squared returns because the substitution of the latent true hedged portfolio variance with a noisy proxy renders the loss function incapable of ranking forecasts consistently. The merits of allowing some features in modeling the spot–futures distribution are assessed. Empirical comparisons suggest that hedgers may favor the wrong model when the quality of the proxy variable deteriorates.