optimal Hedge Ratio

Discussion in 'Trading' started by Trader13, Aug 19, 2011.

  1. Trader13

    Trader13

    Just for comparison, I am attaching the same chart I posted previously but with the daily timeframe changed to 5-min intraday bars over the previous four days. The loookback for beta continues to be 20 periods (red), 60 periods (cyan), and 250 periods (yellow).
     
    #11     Aug 26, 2011
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    #12     Aug 26, 2011