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系統識別號 U0002-2706201411325500
中文論文名稱 最小變異數避險組合的避險效益:以布蘭特原油為例
英文論文名稱 Hedging Effectiveness of Minimum Variance Hedging Portfolio: The Case of Brent Crude Oil
校院名稱 淡江大學
系所名稱(中) 管理科學學系碩士班
系所名稱(英) Master’s Program, Department of Management Sciences
學年度 102
學期 2
出版年 103
研究生中文姓名 陳伯杰
研究生英文姓名 Po-Chieh Chen
學號 600620438
學位類別 碩士
語文別 中文
口試日期 2014-06-23
論文頁數 35頁
口試委員 指導教授-莊忠柱
委員-林忠機
委員-婁國仁
中文關鍵字 C-GARCH-BEKK模型  風險值  預期不足額  低偏動差  避險效益 
英文關鍵字 C-GARCH-BEKK  Value at risk  Expected shortfall  Lower partial moments  Hedging effectiveness 
學科別分類
中文摘要 原油價格波動易受國際政經局勢影響,如何針對原油價格波動進行避險已成為投資人的主要課題之一。本研究以2012年至2014年英國布蘭特原油價格為研究對象,利用移動視窗(rolling window)法探討樣本外(out of sample)條件最小變異數避險組合之避險效益,針對無避險模型、天真避險模型、傳統普通最小平方法模型與C-GARCH-BEKK(1,1)模型下短與長部位避險組合的變異數、風險值、預期不足額與低偏動差,比較避險效益的優劣。
本研究發現整體上樣本外避險效益優於樣本內避險效益,顯示動態的避險較靜態避險來的佳。在變異數與LPM且短或長部位避險組合時,OLS模型提供了較佳的避險效益,而以VaR或ES為條件下時,則C-GARCH-BEKK(1,1)模型提供了較佳的避險效益。本研究可為投資人在風險控管的參考。
英文摘要 The situations of international political and economic affect the crude oil price volatility dramatically. How to hedge for the crude oil price volatility is one of the main topic for the investors. The data of Brent crude oil spot and futures daily price cover the time-span from 2012 to 2014. Based on rolling window framework, this study investigated the hedging effectiveness of conditional minimum variance hedging portfolio of out-of-sample. The results show that the hedging effectiveness of variance, value at risk, expected shortfall and lower partial moments of the unhedging model, the navie model, the OLS model and the C-GARCH-BEKK(1,1) model for short and long hedged portfolios, and the hedging effectiveness is compared.
The results showers that hedging effectiveness from out-of-sample method dominate the one from in-sample, and dynamic hedge is better than static hedge. The OLS model shows better hedging effectiveness in variance and LPM for short and long hedged portfolios. The C-GARCH-BEKK(1,1) model shows better hedging effectiveness in VaR and ES for short and long hedged portfolios. The results provide references to the investors in risk management.
論文目次 目錄
頁次
目錄…………………………………………………………………………Ⅰ
表目錄………………………………………………………………………Ⅲ
圖目錄………………………………………………………………………Ⅳ
第一章、緒論………………………………………………………………1
1.1研究背景與動機…………………………………………………1
1.2研究目的…………………………………………………………8
1.3研究架構及流程…………………………………………………8
1.4研究範圍與限制………………………………………………10
第二章、樣本與方法………………………………………………………11
2.1研究樣本與資料來源………………………………………………11
2.2實證模型……………………………………………………………11
2.3最小變異數避險組合的避險效益衡量……………………………12
第三章、實證結果分析……………………………………………………17
3.1基本敘述統計分析…………………………………………………17
3.2單根檢定……………………………………………………………19
3.3 C-GARCH-BEKK(1,1)模型參數的估計與檢定……………………20
3.4最小變異數避險組合的避險效益分析……………………………23
第四章、結論與建議………………………………………………………27
4.1結論…………………………………………………………………27
4.2建議…………………………………………………………………27
參考文獻…………………………………………………………………29
一、中文部分………………………………………………………………29
二、英文部分………………………………………………………………30

表目錄
頁次
表3-1 研究變數的日報酬基本敘述統計量分析…………………………19
表3-2 布蘭特原油現貨與期貨報酬的單根檢定…………………………20
表3-3 C-GARCH-BEKK(1,1)模型的參數估計與檢定…………………22
表3-4 避險比率敘述統計量分析…………………………………………24
表3-5 避險模型的避險效益………………………………………………25
表3-6 各避險模型避險績效的統計比較…………………………………26

圖目錄
頁次
圖1-1研究流程……………………………………………………………9
圖3-1布蘭特原油現貨及期貨價格與日報酬時間的走勢圖……………17
圖3-2移動視窗架構示意圖………………………………………………21
圖3-3模型避險比率走勢圖………………………………………………23
參考文獻 參考文獻
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