Utilizarea indicilor bursieri în contractele futures
Futures contracts with stock indices

Summary/Abstract: This paper studies the link between spot indices and DAX futures for the period January 2016- January 2019. Also, by using and comparing the OLS, VAR and GARCH models, the optimal hedging rate and hedging efficiency for the DAX futures index are calculated. The GARCH (1.1) and EGARCH (1.1) models help to analyze the persistence of the previous volatility of spot returns, but also futures, for future decisions of investors on the capital market. Therefore, the EGARCH model (1,1) proved to be the most efficient for the analysis of the volatility of the DAX index, being a less restrictive model. Thanks to these econometric models, market investors can predict their future positions in futures trading on the DAX stock index.

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