Futures hedge ratio estimating model based on kernel estimator and EWMA approach

摘要

In this paper, the kernel density estimator approach is used to estimate the probability density function of spot logarithm return and futures logarithm return. And the variance risk of spot and futures logarithm return is calculated. The method of exponentially weighted moving average (EWMA) is adopted to estimate the covariance of spot and futures logarithm return. Through using the variance of hedged portfolio measure the risk, the estimating model of the minimum variance hedge ratio is gained.