Title

最小變異數避險組合的避險效益:以布蘭特原油為例

Translated Titles

Hedging Effectiveness of Minimum Variance Hedging Portfolio: The Case of Brent Crude Oil

DOI

10.6846/TKU.2014.01108

Authors

陳伯杰

Key Words

C-GARCH-BEKK模型 ; 風險值 ; 預期不足額 ; 低偏動差 ; 避險效益 ; C-GARCH-BEKK ; Value at risk ; Expected shortfall ; Lower partial moments ; Hedging effectiveness

PublicationName

淡江大學管理科學學系碩士班學位論文

Volume or Term/Year and Month of Publication

2014年

Academic Degree Category

碩士

Advisor

莊忠柱

Content Language

繁體中文

Chinese Abstract

原油價格波動易受國際政經局勢影響,如何針對原油價格波動進行避險已成為投資人的主要課題之一。本研究以2012年至2014年英國布蘭特原油價格為研究對象,利用移動視窗(rolling window)法探討樣本外(out of sample)條件最小變異數避險組合之避險效益,針對無避險模型、天真避險模型、傳統普通最小平方法模型與C-GARCH-BEKK(1,1)模型下短與長部位避險組合的變異數、風險值、預期不足額與低偏動差,比較避險效益的優劣。 本研究發現整體上樣本外避險效益優於樣本內避險效益,顯示動態的避險較靜態避險來的佳。在變異數與LPM且短或長部位避險組合時,OLS模型提供了較佳的避險效益,而以VaR或ES為條件下時,則C-GARCH-BEKK(1,1)模型提供了較佳的避險效益。本研究可為投資人在風險控管的參考。

English Abstract

The situations of international political and economic affect the crude oil price volatility dramatically. How to hedge for the crude oil price volatility is one of the main topic for the investors. The data of Brent crude oil spot and futures daily price cover the time-span from 2012 to 2014. Based on rolling window framework, this study investigated the hedging effectiveness of conditional minimum variance hedging portfolio of out-of-sample. The results show that the hedging effectiveness of variance, value at risk, expected shortfall and lower partial moments of the unhedging model, the navie model, the OLS model and the C-GARCH-BEKK(1,1) model for short and long hedged portfolios, and the hedging effectiveness is compared. The results showers that hedging effectiveness from out-of-sample method dominate the one from in-sample, and dynamic hedge is better than static hedge. The OLS model shows better hedging effectiveness in variance and LPM for short and long hedged portfolios. The C-GARCH-BEKK(1,1) model shows better hedging effectiveness in VaR and ES for short and long hedged portfolios. The results provide references to the investors in risk management.

Topic Category 商管學院 > 管理科學學系碩士班
社會科學 > 管理學
Reference
  1. 2.林淑蓉,2006。風險值與風險管理策略之研究,國立中央
    連結:
  2. 3.高麗琪,2004。低偏動差與變異數之遠期外匯避險績效比較,中原大
    連結:
  3. 4.許晉雄、鄒慶士與葉柏緯,2010。不同風險衡量下效率投資組
    連結:
  4. 5.陳讚煌,2009。石油供需及價格波動之現況與展望,海峽評
    連結:
  5. 6.黃聖志、蘇欣玟與杜國賓,2008。避險基金指數之風險值探
    連結:
  6. 7.鄒易凭,2007。原油現貨對高敏感性原油相關產業之連動
    連結:
  7. 8.劉洪鈞、黃聖志與王怡文,2008。西德州與布蘭特原油避險
    連結:
  8. 1.Acharya, V., L. Pedersen, T. Philippen and M. Richardson(2010).
    連結:
  9. Credit risk optimization with conditional value-at-risk criterion.
    連結:
  10. Mathematical Programming, Series B, 89(2), p.273–291.
    連結:
  11. 3.Angelidis, T. and A. Benos(2008). Value-at-risk for Greek
    連結:
  12. stocks. Multinational Finance Journal. 12(1), p.67-104.
    連結:
  13. 4.Angelidis, T., A. Benos and S. Degiannakis.(2007). A robust VaR
    連結:
  14. model under different time periods and weighting schemes.
    連結:
  15. Review Quantitative Finance and Accounting. 28(2), p.187-201.
    連結:
  16. measures of risk. Mathematical Finance. 9(3), p.203-228.
    連結:
  17. 7.Bawa, V.S.(1975). Optimal rules for ordering uncertain
    連結:
  18. prospects. Journal of Financial Economics. 2(1), p.95-121.
    連結:
  19. asset pricing model with time-varying covariances. Journal of
    連結:
  20. Political Economy. 96(1), p.116-131.
    連結:
  21. asymmetries on optimal hedge ratios. Journal of Business. 75(2),
    連結:
  22. 11.Caporin, M. and M. McAleer(2008). Scalar BEKK and indirect
    連結:
  23. DCC. Journal of Forecasting. 27(6), P.537-549.
    連結:
  24. the optimal futures hedge. Review of Economics and Statistics.
    連結:
  25. hedging strategies using dynamic multivariate GARCH.
    連結:
  26. Simulation. 67(3), p.201-216.
    連結:
  27. in GARCH-typed VaR estimation of petroleum and metal assert
    連結:
  28. 17.Cotter, J. and J. Hanly(2012). Hedging effectiveness under
    連結:
  29. GARCH approach. Journal of Financial Econometrics.
    連結:
  30. 20.Demirer, R. and D. Lien(2003). Downside risk for short and
    連結:
  31. 21.Ederington, L.(1979). The hedging performance of the new
    連結:
  32. 22.Efron, B(1979). Bootstrap methods: Another look at the
    連結:
  33. with below-target returns. The American Economic Review.
    連結:
  34. 24.Gao, F. and F. Song(2008). Estimation risk in GARCH VaR
    連結:
  35. and ES estimates. Econometric Theory. 24(5), p.1404-1424.
    連結:
  36. short trading positions. Journal of Applied Econometrics.
    連結:
  37. 26.Glosten, L.R., R. Jagannathan and D.E. Runkle(1993). On the
    連結:
  38. 27.Gupta, A. and B. Liang(2005). Do hedge funds have enough
    連結:
  39. a generalized mean-lower partial moment framework: Theory
    連結:
  40. -value at risk hedge ratio. Applied Financial Economics. 16(3),
    連結:
  41. of the athens stock index futures contracts. The European
    連結:
  42. valuation and lognormally distributed returns. Management
    連結:
  43. Science. 34(4), p.446-453.
    連結:
  44. dynamic conditional correlations in WTI oil forward and
    連結:
  45. 33.Lien, D. and Y. Tse(2002). Some recent developments
    連結:
  46. Futures Markets. 26(10), p.1019-1038.
    連結:
  47. 35.Liu, H. and J. C. Hung(2010). Forecasting volatility and
    連結:
  48. 36.Markowitz, H.(1952). Portfolio selection. The Journal of
    連結:
  49. 37.Mattos, F., P. Garcia and C. Nelson.(2006). Relaxing standard
    連結:
  50. hedging assumptions in the presence of downside risk.
    連結:
  51. Forthcoming. Quarterly Review of Economics and Finance. 48
    連結:
  52. risk management: Concepts, techniques, tools. Princeton
    連結:
  53. University Press.
    連結:
  54. varying volatility in south African equities. Journal of Gobal
    連結:
  55. optimization: Methodology and applications”, Ed. S. Uryasev.
    連結:
  56. Kluwer Academic Publishers.
    連結:
  57. 42.Rockafellar, R. T. and S. Uryasev(2000). Optimization of
    連結:
  58. conditional value-at-risk. Journal of Risk. 7(2), p.21-41.
    連結:
  59. 43.Sadeghi, M. and S.Shavvalpour(2006). Energy risk management
    連結:
  60. GARCH models in value at risk estimation. International
    連結:
  61. Financial Markets, Institutions and Money. 16(2), p.180-197.
    連結:
  62. hedging: Evidence from selected European stock index futures.
    連結:
  63. The European Journal of Finance. 14(6), p.469-488.
    連結:
  64. Speculative efficiency and the hedging effectiveness of the oil
    連結:
  65. futures markets. Journal of Futures Markets. 27(1), p.61-84.
    連結:
  66. 參考文獻
  67. 一、中文部分
  68. 1.沈大白、柯瓊鳳與鄒武哲,1998。風險值衡量模式之探討
  69. -以臺灣上市公司權益證券為例,東吳經濟商學學報,
  70. 第二十二期,頁57-76。
  71. 大學財務金融系碩士論文,頁4-5。
  72. 學國際貿易系碩士論文,頁5-10。
  73. 合之比較分析,東吳經濟商學學報,第七十期,頁30-33。
  74. 論,第二一八期,頁18-20。
  75. 討,商管科技季刊,第九卷,第三期,頁277-300。
  76. 性影響,淡江大學財務金融系碩士論文,頁9-19。
  77. 策略,真理財經學報,第十八期,頁71-98。
  78. 二、英文部分
  79. Measure systemic risk, working paper. NYU.
  80. 2.Anderson, F., H. Mausser, D. Rosen and S. Uryasev.(2001).
  81. 5.Artzner, P., F. Delbaen, J.M. Eber and D. Heath(1997). Thinking
  82. coherently. Risk. 10(11), p.68-71.
  83. 6.Artzner, P., F. Delbaen, J.M. Eber and D. Heath(1999). Coherent
  84. 8.Bollerslev, T., R.F. Engle and J.M. Wooldridge(1988). A capital
  85. 9.Brooks, C., O.T. Henry and G. Persand(2002). The effects of
  86. p.333-352.
  87. 10.Cabedo, J. D., and I. Moya(2003). Estimating oil price value at
  88. risk using the historical simulation approach. Energy
  89. Economic. 25(3), p.239-253.
  90. 12.Cecchetti, S., R. Cumby and S. Figlewsk(1988). Estimation of
  91. 70(4), p.623-630.
  92. 13.Chang, C. L., M. McAleer and R. Tansuchat(2011). Crude oil
  93. Energy Economics. 33(5), p.912-923.
  94. 14.Chen, S. W. and C. H. Shen(2004). GARCH, Jumps and
  95. permanent and transitory components of volatility: The case
  96. of the Taiwan exchange rate. Mathematics and Computer in
  97. 15.Cheng, W. H. and J. C. Hung(2011). Skewness and leptokurtosis
  98. returns. Journal of Empircal Finance. 18(1), p.160-173.
  99. 16.Cotter, J. and J. Hanly(2006). Re-examining hedging
  100. performance. Journal of Futures Markets. 26(7), p.677-702.
  101. conditions of asymmetry. The European Journal of Finance.
  102. 18(2), p.135-147.
  103. 18.Cremers, J., M Kritzman and S. Page(2005). Optimal hedge
  104. fund allocations. Journal of Portfolio Management.
  105. 31(3), p.70-81.
  106. 19.deGoeij, P. and W. Marquering(2004). Modeling the conditional
  107. covariance between stock and bond returns: A multivariate
  108. 2(4), p.531-564.
  109. long hedgers. International Review of Economics and
  110. Finance. 12(1), p.25-44.
  111. futures markets. Journal of Finance. 34(1), p.157-170.
  112. Jack-knife. The Annals of Statistics. 7(1), p.1-26.
  113. 23.Fishburn, P.(1977). Mean-risk analysis with risk associated
  114. 67(2), p.116-126.
  115. 25.Giot, P. and S. Laurent(2003). Value-at-risk for long and
  116. 18(6), p.641-663.
  117. relationship between the expected value and the volatility of the
  118. normal excess return on stocks. Journal of Finance. 48(5),
  119. p.1779-1801.
  120. capital? A value-at-rsik approach. Journal of Financial
  121. Economices. 55(2), p.163-172.
  122. 28.Harlow, W. V. and Ramesh K. S. Rao.(1989). Asset pricing in
  123. and evidence. Journal of Financial and Quantitative
  124. Analysis. 24(3), p.285-312.
  125. 29.Hung, J. C., C. L. Chiu and M. C. Lee(2006). Hedging with zero
  126. p.259-269.
  127. 30.Kavussanos, M. and I. Visvikis(2008). Hedging effectiveness
  128. Journal of Finance. 14(3), p.243-270.
  129. 31.Lee, W. and R. Rao(1988). Mean lower partial moment
  130. 32.Lenza, A., M. Manera and M. McAleer(2006). Modeling
  131. futures returns. Finance Research Letters. 3(2), p.114-132.
  132. in futures hedging. Journal of Economic Surveys. 16(3),
  133. p.357-396.
  134. 34.Lien, D. and L.Yang(2006). Spot-futures spread, time-varying
  135. correlation, and hedging with currency futures. Journal of
  136. capturing downside risk of the Taiwanese futures markets
  137. under the financial tsunami. Managerial Finance. 36(10),
  138. p.860-875.
  139. Finance. 7(1), p.77-91.
  140. (1), p.78-93.
  141. 38.McNeil, A. J., R. Frey and P. Embrechts(2005). Quantitative
  142. 39.Obi, P., S. Sil and J. G. Choi(2010). Value-at-risk with time
  143. Business and Technology. 6(2), p.1-11.
  144. 40.Pflug, G. Ch.(2000). Some remarks on the value-at-risk and
  145. the conditional value-at-risk. In “Probabilistic constrained
  146. 41.Price, K., B. Price and T. Nantell(1982). Variance and lower
  147. partial moment measures of systematic risk: Some analytical
  148. and empirical results. Journal of Finance. 37(3), p.843-855.
  149. and value at risk modeling. Energy Ploicy. 34(18),p.3367-3373.
  150. 44.So, M. K. P. and P. L. H. Yu(2006). Empirical analysis of
  151. 45.Sultan, A. and B. Hasan(2008). The effectiveness of dynamic
  152. 46.Switzer, L., and M. El-Khoury(2007). Extreme volatility,
  153. 47.Yamai, Y. and T.Yoshiba(2005). Value-at-risk versus excepted
  154. shortfall: A practical persppective. Journal of Banking and
  155. Finance. 29(4), p.997-1015.