Table 3a. Hedging Results of Historical Simulation,
Out-of-Sample Estimates, 1987-2002
|
Hedged: Call Option |
Average of Districts_______ |
State (Aggregated) |
|
MRSL |
25.56 |
19.65 |
|
Change MRSL |
-5.93 |
-6.78 |
|
% Change MRSL |
-16.85 |
-25.66 |
|
ES 6% |
268.41 |
291.85 |
|
ES 9%_____________ |
279.96 |
______________296.17 |
|
aThe table presents out-of-sample estimates for the | ||
second half of the data period (1987-2002) when
hedging with call options. Out-of-sample estimates are
obtained by applying the optimal hedge estimated from
the first half of the data period to the second.
32
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