應用固定和時間變化避險比率避險的有效性：以台灣股價指數與股價指數期貨為例

Hedging Effectiveness of Applying a Constant and Time-Varying Hedge Ratio: Evidence from Taiwan Stock and Stock Index Futures

曾俊益(Chun-Yi Tseng)

指導教授 ： 陳達新

國立臺北大學/社會科學學院/經濟學系/碩士(2011年)

摘要

本研究探討台灣期貨交易所自1998年7月發行台股指數期貨以來至2010年為止，運用台股指數期貨來規避股價指數現貨的有效性。採用移動視窗法結合OLS 模型、向量誤差修正模型、單變量 GARCH (2,2) 模型、單變量門檻GARCH (2,2) 模型與雙變量GARCH (1,1) 模型來估計每個模型下隨時間變動的最小變異避險比率，用以衡量在不同的避險期間下每個模型所估出的避險比率於樣本外的避險表現如何。而避險表現的好壞則以避險有效性與風險跟報酬的抵換關係為衡量標準。研究發現，在一天的避險期間下， TGARCH模型的避險有效性最好，然而OLS模型的報酬最高；而在較長的避險期間下，OLS模型反而有最大的避險有效性，而二元GARCH模型的報酬最高。故應依據風險趨避的程度與避險期間的長短來決定使用哪種模型以估計最小變異避險比率。

關鍵字

最小變異避險比率 ； 誤差修正項 ； VECM模型 ； GARCH模型 ； 二元GARCH模型

並列摘要

This paper investigates the hedging effectiveness of the Taiwan Futures Exchange (TAIFEX) stock index futures contract using daily settlement prices for the period July 21, 1998 to December 31, 2010. The minimum variance hedge ratios (MVHRs) are estimated from the ordinary least squares regression model (OLS), the vector error correction model (VECM), the generalized autoregressive conditional heteroskedasticity model (GARCH), the threshold GARCH model (TGARCH), and the bivariate GARCH model (BGARCH).

We use a rolling sample method to generate the time-varying MVHRs used for the out-of-sample period, accompanied with different hedge horizons, and compare their hedging performance by hedging effectiveness and risk-return trade-off. In a one-day hedge horizon, the TGARCH model generates the greatest variance reduction, but the OLS model provides the biggest rate of return; in a longer hedge horizon, the OLS generates the largest variance reduction, but the BGARCH model provides the biggest rate of return. The appropriate model to measure the MVHRs depends on the degree of risk aversion and hedge horizon.

並列關鍵字

MVHR ； Error Correction Term ； VECM model ； GARCH model ； Bivariate-GARCH model

參考文獻

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