使用同時考慮狀態轉換及正負不對稱基差效果之時變 相關係數GARCH 模型進行能源期貨避險

A Markov regime-switching time-varying correlation GARCH model with asymmetric basis effect for energy futures hedge

彭智煒(Chih-Wei Peng)

指導教授 ： 李享泰

國立暨南國際大學/管理學院/財務金融學系/碩士(2009年)

https://doi.org/10.6837/NCNU.2009.00127

摘要

摘要
本文採用同時考慮正負不對稱基差之Markov regime- switching time-varying correlation GARCH (RS-VC-Basis-GARCH)模型進行期貨避險，這個模型將Lee and Yoder (2007a)所提出的Markov regime- switching time-varying correlation GARCH (RS-VC-GARCH)模型與Lien and Yang (2006)提出之加入正負不對稱基差效果的Time-varying correlation GARCH (VC-Basis-GARCH)模型相結合，探討同時考慮馬可夫狀態轉換及不對稱基差效果對期貨避險的影響。本文採用原油(Crude oil)、熱燃油(Heating oil)、汽油(Gasoline)及丙皖(Propane)等能源現貨期貨資料進行避險實證，結果發現加入狀態轉換後對所有資料均可改善其樣本外的避險績效，且熱燃油及丙皖在同時加入狀態轉換及正負不對稱基差效果後比只有考慮狀態轉換能更進一步改善其避險績效。

關鍵字

期貨避險 ； GARCH 模型 ； 狀態轉換 ； 正負不對稱基差效果

並列摘要

ABSTRACT
This article applies a Markov regime- switching time-varying correlation GARCH model with asymmetric basis effect (RS-VC-Basis-GARCH) for energy futures hedging. This model nests within it the Markov regime switching time-varying correlation GARCH (RS-VC- GARCH) proposed by Lee and Yoder and the Time-varying correlation GARCH model with asymmetric basis effect (VC-Basis-GARCH) proposed by Lien and Yang. We investigate simultaneously the effects of Markov regime-switching and the asymmetric basis on futures hedging. Four energy futures, crude oil, heating oil, gasoline and propane data are used for empirical study. We find that taking account of the effect of regime-switching improves the hedge performance out-of-sample for all data and taking account of both the effects of regime-switching and asymmetric basis further improves the hedge performance for heating oil and propane.

並列關鍵字

Futures hedge ； GARCH Model ； Regime-Switching ； Asymmetric Basis Effect

參考文獻

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