Skip to main content

Table 6 Hedge Ratio – Full Sample

From: Hedge effectiveness of put replication, gold, and oil on ASEAN-5 equities

Indonesia - Gold 0.051
Malaysia - Gold 0.028
Philippines - Gold 0.048
Thailand - Gold 0.071
Singapore - Gold 0.018
Indonesia - Oil 0.097
Malaysia - Oil 0.231
Philippines - Oil 0.163
Thailand - Oil 0.245
Singapore - Oil 0.257
  1. Notes: This table is hedge ratio of equities – commodities portfolio based on DCC-GARCH