國際散裝船市場之時間變動避險比率估計：應用BGARCH及RCAR方法

Estimation of Time-Varying Hedge Ratios for International Bulk Shipping Market Using BGARCH and RCAR

陳永順(Yung-Shun Chen) ； 王旭堂(Shiu-Tung Wang)

《風險管理學報》 6卷1期 (2004/03) Pp. 33-56

https://doi.org/10.30003/JRM.200403.0002

摘要

本文以尋求研究最佳避險比率之估計方法為目的。因綜觀最近多數文獻均以普通最小平方法（OLS）研究方法作為估計假設固定避險比率，然發現此假設似有欠妥當。故本文擬以比較雙變量一般化自我迴歸條件異質變異（BGARCH）模型及隨機係數自我迴歸（RCAR）模型作為估計國際散裝乾貨船海運市場時間變動避險比率之績效，並選定海岬型船和巴拿馬極限型船的即期與遠期一年期租金報酬數列為研究對象，則實證結果發現：兩船型租金報酬數列確實存在相當明顯的條件異質變異現象；且從即期市場對遠期市場報酬之迴歸隨機係數也出現相當顯著性。若以投資組合報酬變異降幅的百分比為基礎，衡量各選擇模型之避險績效成果，則實證結果發現：在選用樣本資料期間，則以BGARCH模型的正定對角線矩陣可獲得投資組合報酬變異的最大降幅。作者認為此結果應可提供海運市場投資人參考選擇使用雙變量GARCH模型作為衡量最適時間避險比率的方法，並在不影響獲利下以尋求降低風險之最佳投資組合。

關鍵字

時間變動避險比率 ； 雙變數自我迴歸條件異質變異模式 ； 隨機係數自我迴歸模式

並列摘要

This paper is to investigate an estimation of optimal hedge ratios. A number of recent papers have demonstrated that Ordinary Least Squares (OLS) method which gives constant hedge ratio is inappropriate and recommended the use of bivariate autoregressive conditional heteroskedastic(BGARCH) model. In this paper we applied both random coefficient autoregressive (RCAR) and bivariate GARCH model to estimate time varying hedge ratios in bulk shipping market and compared to their performance. Using monthly data of spot and forward hire return of both Capesize and Panamax Vessels in the international bulk shipping market we find substantial presence of conditional heteroskedasticity, and also of random coefficients in the regressions of return from the spot market on the return from the forward markets. Hedging performance in terms of variance reduction of returns from alternative models are also conducted. For the period of our sampling data selected, the finding that diagonal vech presentation of GARCH model provides the largest reduction in the variance of the return portfolio.The result of this study may recommend investors to use the BGARCH as method of measuring time hedging ratio, enabling to achieve the optimal portfolio with the high reduction of risk and without influencing profit gain.

並列關鍵字

Time-Varying Hedge Rate ； BGARCH Model ； RCAR Model

參考文獻

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