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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31679

    Title: 西德州與布蘭特原油避險策略
    Other Titles: The hedging strategy of crude oil spot
    Authors: 王怡文;Wang, Yi-wen
    Contributors: 淡江大學財務金融學系碩士班
    邱建良;Chiu, Chien-liang
    Keywords: 原油期貨;厚尾分配;樣本外避險;避險績效;Crude oil futures;Heavy tails;out of sample hedge;Hedge performance
    Date: 2007
    Issue Date: 2010-01-11 01:07:32 (UTC+8)
    Abstract: 由於昂貴的石油價格,經常和經濟惡化聯繫在一起,影響全球經濟發展。因此本文以美國西德州及英國布蘭特原油為標的,針對1990年波斯灣戰爭使石油市場大幅波動的時期,以相對應的原油期貨進行避險。
    Because of the economic recession always comes with continuous rise in price of oil. Consequently, hedging of oil price becomes a crucial important issue. Although the GARCH model can capture the volatility of price and ARJI model can capture the jump component of price, it is not good enough to correct fat-tailed property of returns distribution.
    Base on the point, this paper employs the GARCH model, ARJI model and GARCH-NoVaS model that accommodate the heavy-tailed returns innovation proposed by Politis (2004) to further examine the hedge performance for crude oil commodity markets (WTI and Brent Crude Oil) under alternative hedging periods during the Gulf War in 1990.
    The empirical results show that hedging during high volatility period can reduce variance about 70%~80%. The ARJI model generates superior hedge performance to GARCH model. Moreover, the assumption of GARCH residual in heavy-tail distribution is more appropriate than normal distribution, so that models which accommodate with heavy-tail returns innovation have better hedge performance than traditional return specification.
    Overall, this paper suggests using the ARJI model to enhance the hedge performance for investors in WTI crude oil markets, while using the GARCH-NoVaS model to abate investment risk for them in Brent crude oil markets.
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Thesis

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