Hedging is a particularly important tool in the Exchange Traded Fund (ETF) markets where market makers seek the best ways to mitigate the uncertainty of their exposures. This study relies on high frequency data to assess the spillover effects among ten US sector ETFs and various economic and financial uncertainty indexes based on realized volatility, realized higher moments as well as jumps under a relatively new spillover framework. Next, a time-varying parameter vector autoregression (TVP-VAR) model is used to examine the dynamic connectedness among ETFs and uncertainty factors volatilities while avoiding the sensitivity of spillover results to the choice of the rolling window. Our results showcase higher total connectedness between the different uncertainty indexes and ETFs, though with varying sensitivities. Notably, skewness and kurtosis can spread from one market to another, especially during times of market turbulence, reflecting the significant spillovers in higher-order moments. Interestingly, the market’s 30-day forward looking expectations of US stock market volatility (VIX) has stronger effect on the US sector equity ETFs than the expected 30-day volatility of returns on oil and gold. This analysis emphasizes the implications and contributions of assessing the spillover in higher-order moments covering volatility, skewness, and kurtosis to portfolio hedging and financial risk management. Overall, the results are of considerable practical interest for economic and market agents who are keen to understand market integration and systemic risk propagation to infer asymmetric or fat tail risk related to extreme or downside/upside risks.

对冲是交易所交易基金 (ETF) 市场中特别重要的工具，做市商寻求最佳方法来减轻其风险敞口的不确定性。本研究依靠高频数据来评估十个美国行业 ETF 和各种经济和金融不确定性指数之间的溢出效应，这些指数基于已实现的波动性、已实现的更高时刻以及相对较新的溢出框架下的跳跃。接下来，使用时变参数向量自回归（TVP-VAR）模型来检查ETF和不确定性因素波动性之间的动态关联性，同时避免溢出结果对滚动窗口选择的敏感性。我们的结果显示，不同不确定性指数和 ETF 之间的总体关联性较高，尽管敏感性不同。值得注意的是，偏度和峰度可以从一个市场传播到另一个市场，特别是在市场动荡时期，反映了高阶时刻的显着溢出。有趣的是，市场对美国股市波动率（VIX）的30天前瞻性预期对美国板块股票ETF的影响要强于对石油和黄金回报率的30天波动预期。该分析强调了评估高阶时刻（涵盖波动性、偏度和峰度）的溢出效应对投资组合对冲和金融风险管理的影响和贡献。总体而言，这些结果对于热衷于了解市场一体化和系统性风险传播以推断与极端或下行/上行风险相关的不对称或厚尾风险的经济和市场主体具有相当大的实际意义。