This study investigates hedging performance of KTB futures with respect to KTB and various bond portfolios uSing VECM, VAR, Bivariate GARCH (1 ,1) and OLS regression models. Both weekly and daily hedging performance is evaluated. The sample period covers from January 4, 2000 to June 30, 2001. We found the f이 lowing results. Firstly, unit roots are found in KTB futures and various spot prices. Secondly, we can not find statistical differences among hedge ratios estimated from VECM, VAR. Bivariate GARCH (1 , 1) and OLS regression models. Thirdly, there are no significant differences in hedging performance among various models. Fourthly, weekly hedging produces the better hedging performance than daily hedging. Finally, overall hedging performance of KTB futures is relatively poor. This result implies that underlying spot bond portf이 io comprising KTB futures does not represent spot interest rate movements very well. It seems that we need more various futures products in KTB futures to enhance the hedging performance.