最小變異數避險組合的避險效益:以布蘭特原油為例

Hedging Effectiveness of Minimum Variance Hedging Portfolio： The Case of Brent Crude Oil

陳伯杰(Po-Chieh Chen)

指導教授 ： 莊忠柱

淡江大學/商管學院/管理科學學系碩士班/碩士(2014年)

https://doi.org/10.6846/TKU.2014.01108

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。

關鍵字

C-GARCH-BEKK模型 ； 風險值 ； 預期不足額 ； 低偏動差 ； 避險效益

並列摘要

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.

並列關鍵字

C-GARCH-BEKK ； Value at risk ； Expected shortfall ； Lower partial moments ； Hedging effectiveness

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