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Please use this identifier to cite or link to this item: http://ntour.ntou.edu.tw:8080/ir/handle/987654321/13080

Title: Dependence-Switching模型在股票指數期貨動態避險上之運用
An Application of Dependence-Switching Model to Dynamic Stock Index Futures Hedging
Authors: Chih-Wei Wu
吳智偉
Contributors: NTOU:Institute of Applied Economics
國立臺灣海洋大學:應用經濟研究所
Keywords: 股價指數;期貨;避險;copula;dependence-switching
stock index;futures;hedge;copula;dependence-switching
Date: 2010
Issue Date: 2011-06-30T07:09:50Z
Abstract: 過去研究在估計最小變異最適避險比率(minimum variance optimal hedge ratios)時,大多採用最小平方法(Ederington, 1979;Figlewski, 1984)、共整合法(Ghosh, 1993;Lien and Luo, 1993)或允許變異數隨時間變動的雙變量GARCH 系列模型(Baillie and Myers, 1991;Kroner and Sultan, 1993;Park and Switzer, 1995;Gagnon and Lypny, 1995; Kavussanos and Nomikos, 2000;Bystrom, 2003)。惟前述模型基本上皆利用期、現貨間的「線性」相關(linear correlation)來計算最適避險比率,一旦期、現貨間呈現非橢圓聯合分配時,抑或存在非線性(nonlinear)相關結構,其相關性的估計有可能出現偏誤。 具有不對稱及極值特性的copula函數不僅能打破以往的假設限制,更能呈現期、現貨間大幅共漲、共跌的特性。本研究整合copula函數與Hamilton (1989, 1994)馬可夫轉換(Markov-switching)模型,建立允許期、現貨間相關性可在兩不同相關結構間不斷轉換的dependence-switching (DS)模型。應用此模型估算不同狀態下的相關性與避險比率,據以建構股票指數期、現貨動態避險策略。本研究實證結果發現,由DS模型所建構之避險投資組合避險績效優於傳統方法(OLS、ECM 及DCC-GARCH)。
The ordinary least squares (OLS) technique (Ederington, 1979; Figlewski, 1984), the co-integration method (Ghosh, 1993; Lien and Luo, 1993), and the bivariate GARCH-type models allowing time-varying nature in asset returns (Baillie and Myers, 1991; Kroner and Sultan, 1993; Park and Switzer, 1995; Gagnon and Lypny, 1995; Kavussanos and Nomikos, 2000; Bystrom, 2003) are the most common approaches to estimate minimum-variance hedge ratios. However, those conventional approaches have been used to calculate the optimal hedge ratios in a sense of linear correlation which could result in bias estimates if the joint distribution of spot and futures is not elliptical and/or is non-linear. Since copula functions of asymmetric dependence structures and extreme values can capture the extreme co-movements of spot and futures, this study builds a dependence-switching model (DS model), which is integrated by copula functions and Markov-switching model by Hamilton (1989, 1994) and is allowed that the dependence of spot and futures can switch between two different structures. We construct a hedging portfolio via the DS model and evaluate the dynamic hedging performance. The results show that the DS model outperforms the conventional approaches such as OLS, ECM, and DCC-GARCH.
URI: http://ethesys.lib.ntou.edu.tw/cdrfb3/record/#G0M97350007
http://ntour.ntou.edu.tw/ir/handle/987654321/13080
Appears in Collections:[應用經濟研究所] 博碩士論文

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