Recommendations for Future Works

This study proposed a novel approach for clustering the time series data and using the similarity-clustered data for OHR estimation. The empirical results showed results with different hedge intervals of the proposed models, and compared these with the hedge intervals of traditional models. The findings, although significant, have some limitations and are expected to be investigated further. The recommendations for future works are summarized as follows.

1. This research simply adopts a default value to set the GHSOM parameter. Thus, the sensitivity of parameters setting of GHSOM should be investigated further to provide a definite guide in determining optimal parameter settings.

2. The robustness of the proposed model is expected to be verified using different periods of data from various markets.

3. This research only conducts model and OHR estimations on stock index futures.

However, the model has the potential to be applied to other futures market, such as foreign exchange futures or commodity futures.

4. The proposed CI-based model is expected to be used as a tool for investigating the relevant issue of volatility in financial engineering, such as volatility forecasting, modifying beta coefficient in capital asset pricing model (CAPM), and estimating value of risk (VaR).

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