Hedged Portfolio Risks for the Full Sample

Mean

Std Dev

Min

Max

1: week
1p
2p
3p
4p

0.0196
0.0191
0.0194
0.0194

0.0143
0.014
0.0142
0.0142

0.0013
0.0006
0.0006
0.0006

0.0829
0.0785
0.0807
0.0807

1: month
1p
2p
3p
4p

0.0194
0.0189
0.0193
0.0193

0.0128
0.0126
0.0128
0.0128

0.0018
0.001
0.0012
0.0012

0.0582
0.0562
0.0577
0.0577

3: month
1p
2p
3p
4p

0.0188
0.0183
0.0187
0.0188

0.0117
0.0117
0.0117
0.0116

0.0021
0.0016
0.0019
0.0019

0.0427
0.0415
0.0426
0.0426

6: month
1p
2p
3p
4p

0.0179
0.0173
0.0178
0.0179

0.0104
0.0105
0.0104
0.0103

0.0026
0.0021
0.0025
0.0026

0.0338
0.033
0.0337
0.0337

1: year
1p
2p
3p
4p

0.0157
0.0151
0.0157
0.0159

0.0094
0.0095
0.0094
0.0092

0.0038
0.003
0.0038
0.004

0.0288
0.0282
0.0288
0.0288

Effect of the Asian Currency Crisis on Hedged Portfolio Risk.

Mean
Std Dev
Min
Max
1: week- Pre Crisis
1p
0.0036
0.0041
0.0013
0.0343
2p
0.0029
0.0035
0.0005
0.03
3p
0.0032
0.0038
0.0006
0.0322
1: week- Post Crisis
1p
0.0036
2p
0.0029
3p
0.0032

0.0041
0.0035
0.0038

0.0013
0.0005
0.0006

0.0343
0.03
0.0322

1: month
1p
2p
3p
4p

0.0194
0.0189
0.0193
0.0193

0.0128
0.0126
0.0128
0.0128

0.0018
0.001
0.0012
0.0012

0.0582
0.0562
0.0577
0.0577

3: month
1p
2p
3p
4p

0.0188
0.0183
0.0187
0.0188

0.0117
0.0117
0.0117
0.0116

0.0021
0.0016
0.0019
0.0019

0.0427
0.0415
0.0426
0.0426

6: month
1p
2p
3p
4p

0.0179
0.0173
0.0178
0.0179

0.0104
0.0105
0.0104
0.0103

0.0026
0.0021
0.0025
0.0026

0.0338
0.033
0.0337
0.0337

6: month
1p
2p
3p
4p

0.0157
0.0151
0.0157
0.0159

0.0094
0.0095
0.0094
0.0092

0.0038
0.003
0.0038
0.004

0.0288
0.0282
0.0288
0.0288

1- week
1-month
3-month
6-month
1-year

1- week
1p
2p
3p
4p

S-1
10.328
14.488
18.845
20.728
23.441

S-2
7.128
8.61
8.811
14.151
14.43

S-3
15.349
18.139
18.971
20.783
23.322

S-4
8.873
10.737
14.321
17.512
23.106

Hedged Portfolio Risk Using the GARCH (1,1) Model

Full- Sample
Pre-Crisis
Post- Crisis
Mean
Test-Stat
Mean
Test-Stat
Mean
Test-Stat
0.0196
3.36
0.0067
5.86
0.0297
3.29
0.0191
2.39
0.0065
7.44
0.0275
1.74
0.0194
2.55
0.0066
6.67
0.0282
2.08
0.0194
2.54
0.0066
6.48
0.0282
2.08

1- month
1p
2p
3p
4p

0.0194
0.0189
0.0193
0.0193

4.02
2.89
3.16
3.28

0.0062
0.006
0.0062
0.0062

12.95
15.38
13.16
12.8

0.0297
0.0296
0.0285
0.0286

4.51
2.59
3.13
3.25

3-month
1p
2p
3p
4p

0.0188
0.0183
0.0187
0.0188

4.69
3.39
3.85
3.87

0.006
0.0058
0.006
0.006

27.83
35.57
28.83
25.73

0.0291
0.027
0.028
0.0281

6.31
3.96
4.61
4.78