本文以美國、德國、日本等國之股價指數與指數期貨為主要研究對象，美國史坦普500股價指數、德國法蘭克福指數、日本日經225指數研究期間取自1991年1月1日至2009年12月31日止，美國道瓊工業指數研究期間取自1998年1月1日至2009年12月31日止。運用不同避險績效的衡量方法，包括變異數(Variance) 、效用函數(Utility function)、半變異數(semi-variance)、低度動差(LPM)、條件風險值(CVaR)等來估計OLS、CCC-GARCH、DCC-GARCH、DCC-CARR等避險模型之樣本外避險績效。實證結果發現:1.觀察樣本外期間的避險績效，以OLS避險模型效果最佳。2.若僅比較DCC-GARCH及DCC-CARR模型，以DCC-CARR 模型做為波動性預測指標的動態模型，比DCC-GARCH 模型做為波動性預測指標的動態模型估計更準確。3.本文同時考慮避險交易成本之因素，運用效用函數來評估四大指數避險績效，以OLS模型及DCC-CARR模型避險績效為佳，而考慮交易成本後之DCC-CARR模型避險績效同樣亦較DCC-GARCH模型的避險效果為佳。

This article takes stock index and index future in United States, Germany and Japan as the research object . The sample period of S&P 500、DAX and Nikkei 225 index covers from 1/1/1991 to 31/12/2009, and the sample period of Dow Jones index covers from 1/1/1998 to 12/31/2009. The purpose of this study is to compare the out of sample performances among OLS、CCC-GARCH、DCC-GARCH、DCC-CARR models by using Variance、Utility function、Semi-variance、LPM and CVaR measurements. The empirical result shows: 1. OLS hedging model has the best out of sample performance. 2. In the dynamic model, if it only compares DCC-GARCH and DCC-CARR as the volatility forecasting estimator, DCC-CARR model has more accurate result. 3. If it takes transaction costs into the consideration, Utility function shows OLS and DCC-CARR models both have better hedging performances. Consideration   the transaction cost, DCC-CARR model is also better than DCC-GARCH model.

目      錄
第一章  緒  論	1
第一節  研究背景與動機	1
第二節  研究目的	3
第二章  文獻回顧	6
第一節  股價指數期貨介紹	6
第二節  避險理論	10
第三節  國內外文獻回顧	18
一、避險模型的探討	18
二、波動性文獻探討	23
第三章  研究方法與理論模型	29
第一節  單根檢定	29
第二節  ARCH效果檢定	34
第三節  避險模型	37
一、天真避險 (Naive hedge)	37
二、傳統OLS避險模型	37
三、雙變量GARCH(1,1)避險模型	38
四、CARR 模型	41
五、DCC（Dynamic Conditional Correlation）模型	43
第四節  避險績效的衡量	48
一、變異數 (Variance)與半變異數 (semi-variance)	48
二、低度動差 (LPM)	49
三、風險值（Value at risk,VaR）及條件風險值 (CVAR)	51
第五節 效用函數 (Utility Function)	53
第四章  實證結果與分析	55
第一節 資料來源與變數定義	55
第二節 樣本資料的基本統計量	57
第三節 實證模型之結果分析	64
第伍章  結論	75
參考文獻	77
表   目   錄
【表2-1-1】期貨契約的種類	6
【表2-1-2】各國股價指數之標的	8
【表2-1-3】各國股價指數期貨之簡介	8
【表4-2-1】各國股價指數報酬率之基本統計量	57
【表4-2-1續】各國股價指數報酬率之基本統計量	58
【表4-2-2】各國股價指數變幅之基本統計量	59
【表4-2-3】各國指數現貨與期貨報酬率之ARCH效果檢定	60
【表4-2-4】各國指數現貨與期貨變幅之ARCH效果檢定	60
【表4-2-5】美國S&P500指數之參數估計值	61
【表4-2-6】德國DAX指數之參數估計值	62
【表4-2-7】日本Nikkei225指數之參數估計值	62
【表4-2-8】美國Dow Jones指數之參數估計值	63
【表4-3-1】五大避險模型及五大衡量方法之樣本外避險績效	66
【表4-3-1續】五大避險模型及五大衡量方法之樣本外避險績效	67
【表4-3-2】四大指數最佳避險模型	69
【表4-3-3】DCC-GARCH及DCC-CARR樣本外避險績效	71
【表4-3-4】考慮交易成本後之避險績效-以效用函數(Utility)為避險衡量方法	73
【表4-3-4續】考慮交易成本後之避險績效-以效用函數(Utility)為避險衡量方法	74

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二、國內文獻	
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3.賴曉萍，(2009)，「台灣50 ETF(TTT)避險策略研究」，淡江大學財務金融學所碩士在職班論文。
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