探討具狀態轉換之動態避險模型最小變異避險比率的避險績效

A Discussion on the Hedge Performance of the Minimum Variance Dynamic Hedge Ratio Model with Markov Switching

張巧薇(Chiao-Wei Chang)

指導教授 ： 李孟峰

國立臺北大學/商學院/統計學系/碩士(2013年)

摘要

全球化金融市場提供大眾很多的投資管道，但相對的也使投資人暴露在更多金融市場波動的潛在風險中；尤其是台灣的金融市場更是容易受到國內外政經情勢的波動，而存在更高的投資風險。風險的種類可分為系統性風險和非系統性風險，其中非系統風險可以藉由多角化投資來分散，但是系統風險主要來自於總體經濟狀況或政治因素的改變，必須利用衍生性金融商品將系統性風險移轉給市場上願意承擔風險的投機者。
為了滿足投資人規避金融資產價格波動風險的需求，市場推出選擇權與期貨的衍生性金融商品，使投資人能夠利用現貨與衍生性商品的價格變動的高相關性，進行避險操作，作為投資者的一個良好避險工具。本研究主要利用台灣加權指數現貨及期貨之間的相關性，建立具馬可夫狀態轉換之向量自我回歸模型與動態條件相關GARCH模型，計算每個模型在不同狀態下的避險比率。最後，再依據兩模型的避險比率，評估兩種避險模型的避險績效之優劣。

關鍵字

避險模型 ； 向量自我回歸模型 ； 動態條件相關模型 ； 馬可夫狀態轉換 ； 避險績效

並列摘要

Nowadays, there are many financial commodities provided by several globalized financial markets. In the meantime, the volatility of financial market also causes a relative of the investor exposure to potential risk. The financial market in Taiwan is especially vulnerable to the disturbance of national and/or international political and economic situation which will conducts a higher investment risk. The types of risk can be divided into systemic risk and non-systematic risk. Non-systematic risk can be diversification by diversifying investment. The system risk is primarily attributed to general economic and political situation. To avoid the system risk, investors may use derivatives to divert the risk to the adventurers.
In order to offer the demand of investors to avoid the price volatility of financial assets, some derivatives such as options and futures are also provided by the market. The high correlation of price variations between spots and derivatives can be applied to the hedge operation and the derivatives will be good hedging instruments for stock investors. This research mainly applies the correlation between spots and futures of Taiwan Weighted Index to establish a vector autoregression model and a dynamic conditional correlation GARCH model with Markov regime switching. The hedge ratios of each model at different regimes are also calculated. Finally, the hedging performances of two hedge models were compared according to the hedge ratios.

並列關鍵字

hedging models ； vector autoregression model ； dynamic conditional correlation model ； Markov regime switching ； minimum variance hedge ratio ； hedge performance

參考文獻

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