- 學位論文
外匯期貨與現貨的避險績效之研究:不對稱動態條件相關模型
A Study of the Hedging Effectiveness of Exchange Rate Futures and Spot: An Asymmetric DCC model
摘要
匯率的劇烈波動常導致投資人承受巨額損失，因而外匯期貨已成為避險的金融商品之一。本文以芝加哥商業交易所1987年2月2日至2017年1月31日的美元兌日圓、英鎊、澳幣、加幣及瑞士法郎期貨為研究對象，利用移動視窗的架構，探討普通最小平方(OLS)模型、動態條件相關自我迴歸異質變異數(DCC-GARCH)模型與不對稱動態條件相關自我迴歸異質變異數(ADCC-GARCH)模型的動態避險績效。在考量最小變異數避險組合下，除瑞士法郎的OLS模型外，其他模型的動態避險績效皆顯著的大於靜態避險績效。此外，所有外匯商品在DCC-GARCH(1,1)與ADCC-GARCH(1,1)模型皆有顯著的動態避險績效，而兩種模型的避險績效並無顯著差異。本文的研究結論可提供給投資人參考。
並列摘要
Fluctuations in exchange rates often cause huge losses to investors, and thus foreign exchange rate futures become one of the hedge financial products. This study examined USD/JPY, USD/GBP, USD/AUD, USD/CAD and USD/CHF spots and futures in Chicago Mercantile Exchange (CME) from February 2, 1987 to January 31, 2017. The window-rolling framework is used to investigate dynamic hedging effectiveness of OLS, DCC-GARCH and ADCC-GARCH model. Based on the minimum variance hedging portfolio, the dynamic hedging effectiveness is significantly better than static hedging effectiveness in the researched models other than USD/CHF of OLS model. Although there exists significant dynamic hedging effectiveness of DCC-GARCH(1,1) and ADCC-GARCH(1,1) model for the researched foreign exchange rate products, there is no significant difference in hedging effectiveness of these two models. The findings in this study can be used as a reference for investors.