實證發現無論是在台股股價指數或是金融類股股價指數，EGARCH model 的避險績效均為最佳。且透過上述研究可得知，並沒有絕對單一的方法可使避險績效達到最佳狀態，因次投資人在進行避險策略的選擇時，應多方考量，選擇較佳的方法求算避險比率，來形成投資組合，才能提高績效。 This study we investigate the hedging effectiveness of Taiwan Stock Exchange Capitalization Weighted Stock Index coverinf from July, 21 1998 to Oct. 15, 2004, and Taiwan Stock Exchange Finance Sector Index covering from July, 21 1999 to Oct. 15, 2004.Comparing the hedging effectiveness of different kind of GARCH model.
We use CCC model,DVEC model, BEKK model, EGARCH model, PGARCH model and Two component model to estimate hedge ratio and hedging effectiveness.
We find EGARCH model is the best model on Taiwan Stock Exchange Capitalization Weighted Stock Index and Taiwan Stock Exchange Finance Sector Index.
