Table 6.

Optimal Portfolio weights (Market/VIX) summary statistics.

Optimal weights	$w\_ji,y$	Std.Dev.	5%	95%	HE
US/VIX	0.87	0.06	0.7	0.92	0.76***
DE/VIX	0.88	0.05	0.8	0.93	0.42***
FR/VIX	0.89	0.05	0.8	0.94	0.41***
ITA/VIX	0.88	0.05	0.8	0.93	0.46***
SP/VIX	0.89	0.05	0.8	0.94	0.41***
UK/VIX	0.91	0.04	0.8	0.94	0.39***
CH/VIX	0.97	0.01	0.9	0.99	0.04
S_A/VIX	0.91	0.03	0.8	0.95	0.18*
AU/VIX	0.95	0.03	0.9	0.98	0.22**
JP/VIX	0.95	0.03	0.9	0.98	0.08
IN/VIX	0.92	0.06	0.8	0.96	0.23**
RUS/VIX	0.93	0.03	0.9	0.96	0.25**
S_K/VIX	0.94	0.04	0.9	0.97	0.15
TURK/VIX	0.91	0.03	0.9	0.95	0.31***
ARG/VIX	0.83	0.06	0.7	0.91	0.35***
BRA/VIX	0.88	0.05	0.7	0.93	0.60***
INDO/VIX	0.95	0.04	0.9	0.98	0.13

Notes: * $<$ 0.1; ** $<$ 0.05; *** $<$ 0.01. Hedging Effectiveness (HE) is computed as $1-\left(Var\right(H)/Var(U\left)\right)$. $Var\left(H\right)$ and $Var\left(U\right)$ are the variance of the hedged and unhedged positions, respectively.