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系統識別號 U0002-2705200510465100
中文論文名稱 加入GARCH效果與到期日效應之避險績效
英文論文名稱 Hedging Effectiveness under Maturity Effect and GARCH Modeling
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 93
學期 2
出版年 94
研究生中文姓名 劉懿葦
研究生英文姓名 Yi-Wei Liu
學號 692490898
學位類別 碩士
語文別 中文
口試日期 2005-05-24
論文頁數 66頁
口試委員 指導教授-林蒼祥
委員-林筠
委員-謝文良
委員-古永嘉
中文關鍵字 到期日效應  GARCH效果  避險績效 
英文關鍵字 Maturity Effect  GARCH Effect  Hedging Effectiveness 
學科別分類 學科別社會科學商學
中文摘要 本文沿用Chen, Duan and Hung (1999)的實證模型,以加入GARCH效果及到期日效應的雙變量NGARCH模型來描述指數現貨和基差的聯合動態過程,並將此模型應用於避險中。本文以S&P 500指數期貨為研究對象,比較在加入到期日效應與不加入到期日效應兩種情況下的避險比率與避險績效,實證結果發現期貨契約的存續期間會顯著影響避險比率與避險績效。此外,本文進一步比較簡單線性迴歸模型、只加入GARCH效果之雙變量NGARCH模型、與同時加入到期日效應及GARCH效果之雙變量NGARCH模型三者的避險績效,探討在加入到期日效應之避險績效是否比不加入到期日效應的避險績效還高,且測試避險績效是否會受避險期間所影響。結果顯示,避險期間愈長避險績效愈好,且建議投資者面對S&P 500指數波動時最適的避險策略為持有長天期部位,並利用S&P 500指數期貨配合同時加入GARCH效果與到期日效應之雙變量NGARCH模型。
英文摘要 This study follows a bivariate NGARCH model with maturity effect, which Chen, Duan and Hung (1999) propose to describe the joint dynamics of the spot index and the futures-spot basis, and also apply this model to futures hedging. The S&P 500 index and its futures are used in our empirical analysis and to compare the hedge ratio and hedge effectiveness under scenarios with and without the maturity effect. The maturity of the futures contract is found to have a pronounced effect on the optimal hedge ratio and the hedging effectiveness. Moreover, to study if the hedge effectiveness under scenarios with the maturity effect is better than without the maturity effect and to test if the effectiveness performance varies according to the hedge horizon. The results shows hedge horizons exists positive relationship to the hedging effectiveness, and we suggest that traders should take the long-term hedge positions under the maturity effect and GARCH modeling in S&P500 index futures markets when they face the volatility on the S&P500 spot markets.
論文目次 目錄
第一章 緒論
1.1 研究背景與動機 ………………………………………… 1
1.2 研究目的 ………………………………………………… 3
1.3 研究架構 ………………………………………………… 4
1.4 研究流程 ………………………………………………… 5
第二章 文獻探討
2.1 避險理論之演進 ………………………………………… 6
2.2 動態避險之相關文獻 …………………………………… 9
第三章 模型與研究方法
3.1 單根檢定 ………………………………………………… 13
3.2 異質變異數模型估計與檢定 …………………………… 16
3.3 修正的雙變量NGARCH模型 ……………………………… 23
3.4 最適避險比率之衡量 …………………………………… 27
3.5 避險績效之衡量 ………………………………………… 30
第四章 實證結果與分析
4.1 資料 ……………………………………………………… 34
4.2 樣本檢定 ………………………………………………… 39
4.3 雙變量NGARCH(1,1)模型之估計結果 …………………41
4.4 單日避險實證結果 ……………………………………… 44
4.5 避險績效整體分析 ……………………………………… 49
第五章 結論與建議
5.1 結論 ……………………………………………………… 59
5.2 建議 ……………………………………………………… 61
參考文獻 …………………………………………………………… 62
附錄…………………………………………………………………… 66
表目錄
表4-1 S&P500指數報酬率與標準化之基差風險的統計分析摘要 …37
表4-2 S&P500指數報酬率與標準化之基差風險時間序列的單根檢定……………………………………………………………………… 40
表4-3 S&P500指數報酬率及標準化之基差風險的自我相關分析… 41
表4-4 修正的雙變量NGARCH模型之參數估計結果-避險期間為1日.42
表4-5 各模型在不同避險期間下之避險實證結果 ……………… 51
附表一 美國S&P 500指數期貨合約規格 ……………………………66
圖目錄
圖4-1 S&P 500指數報酬率時間趨勢圖………………………………38
圖4-2 標準化之基差風險時間趨勢圖 ………………………………38
圖4-3 平均標準化之基差風險與到期日間之關係圖 ………………39
圖4-4 不同避險模型之避險比率-避險期間為1日………………… 46
圖4-5 同時考量到期日及GARCH效應之避險比率與到期日間之關係47
圖4-6 同時考量到期日及GARCH效應之避險績效與到期日間之關係48
圖4-7 不同避險期間之避險績效指數……………………………… 52
圖4-8 投資組合波動性-避險期間為1日…………………………… 53
圖4-9 不同模型之避險績效-避險期間為1日……………………… 54
圖4-10 投資組合波動性-避險期間為5日 ………………………… 54
圖4-11 不同模型之避險比率-避險期間為5日 …………………… 55
圖4-12 不同模型之避險績效-避險期間為5日 …………………… 55
圖4-13 投資組合波動性-避險期間為10日 …………………………56
圖4-14 不同模型之避險比率-避險期間為10日 ……………………56
圖4-15 不同模型之避險績效-避險期間為10日 ……………………57
圖4-16 投資組合波動性-避險期間為20日 …………………………57
圖4-17 不同模型之避險比率-避險期間為20日 ……………………58
圖4-18 不同模型之避險績效-避險期間為20日 ……………………58
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