本文沿用Chen, Duan and Hung (1999)的實證模型，以加入GARCH效果及到期日效應的雙變量NGARCH模型來描述指數現貨和基差的聯合動態過程，並將此模型應用於避險中。本文以S&P 500指數期貨為研究對象，比較在加入到期日效應與不加入到期日效應兩種情況下的避險比率與避險績效，實證結果發現期貨契約的存續期間會顯著影響避險比率與避險績效。此外，本文進一步比較簡單線性迴歸模型、只加入GARCH效果之雙變量NGARCH模型、與同時加入到期日效應及GARCH效果之雙變量NGARCH模型三者的避險績效，探討在加入到期日效應之避險績效是否比不加入到期日效應的避險績效還高，且測試避險績效是否會受避險期間所影響。結果顯示，避險期間愈長避險績效愈好，且建議投資者面對S&P 500指數波動時最適的避險策略為持有長天期部位，並利用S&P 500指數期貨配合同時加入GARCH效果與到期日效應之雙變量NGARCH模型。 This study follows a bivariate NGARCH model with maturity effect, which Chen, Duan and Hung (1999) propose to describe the joint dynamics of the spot index and the futures-spot basis, and also apply this model to futures hedging. The S&P 500 index and its futures are used in our empirical analysis and to compare the hedge ratio and hedge effectiveness under scenarios with and without the maturity effect. The maturity of the futures contract is found to have a pronounced effect on the optimal hedge ratio and the hedging effectiveness. Moreover, to study if the hedge effectiveness under scenarios with the maturity effect is better than without the maturity effect and to test if the effectiveness performance varies according to the hedge horizon. The results shows hedge horizons exists positive relationship to the hedging effectiveness, and we suggest that traders should take the long-term hedge positions under the maturity effect and GARCH modeling in S&P500 index futures markets when they face the volatility on the S&P500 spot markets.
