期交所於2015年7月20日推出2檔人民幣匯率期貨,以美元兌人民幣匯率為交易標的,提供市場標準化、具財務槓桿的匯率交易工具,增加交易人運用金融商品之彈性,及促進臺灣離岸人民幣市場之多元發展。本研究運用OLS、單變量GARCH(1,1)、雙變量GARCH(1,1)等避險模型來估計避險比率,並比較兩檔期貨避險工具在不同模型下之避險效果,以尋求最適的避險工具供投資大眾參考。
Taiwan Future Exchange (TAIFEX) introduced two RMB FX futures on July 20th of 2015 that use US Dollar (USD)/RMB FX foreign exchange futures as the object of transaction to provide the market with an exchange transaction tool that is standardized and with financial leverage, to expand the traders’ flexibility in their usage of financial instruments, and to promote diversity of development in Taiwan’s offshore RMB (CNH) market. This research used models including OLS, univariate GARCH (1,1), and bivariate GARCH (1,1) to predict the hedge ratio and compared the performance of the two foreign exchange futures’ hedging tools under different models with the goal of finding the most fitting hedging tool for the general investor’s reference.