淡江大學機構典藏:Item 987654321/51564
English  |  正體中文  |  简体中文  |  全文筆數/總筆數 : 64191/96979 (66%)
造訪人次 : 8095883      線上人數 : 12236
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜尋範圍 查詢小技巧：
  • 您可在西文檢索詞彙前後加上"雙引號"，以獲取較精準的檢索結果
  • 若欲以作者姓名搜尋，建議至進階搜尋限定作者欄位，可獲得較完整資料
    •  進階搜尋


    請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/51564


    題名: 基差與變幅波動之資訊內涵對於避險績效之影響
    其他題名: The information contents of basis and range volatility on hedging performance
    作者: 鄭佩芳;Cheng, Pei-fang
    貢獻者: 淡江大學財務金融學系碩士在職專班
    邱建良;洪瑞成
    關鍵詞: 基差;變幅波動估計量;避險績效;SPA檢定;CCC-GARCH;Basis;Hedging performance;CCC-GARCH;Range-Based Estimator;SPA test
    日期: 2010
    上傳時間: 2010-09-23 15:25:39 (UTC+8)
    摘要: 本文以美國、英國、台灣等國之股價指數與指數期貨為主要研究對象，研究期間取自2001年1月1日至2008年12月31日止，採用CCC- GARCH避險模型，探討加入基差與變幅波動對避險績效的影響，實證結果發現在基差變數的比較上，CCC- GARCH避險模型加入不對稱基差的避險績效為所有修正模型中最高，比加入對稱基差的避險模型與CCC-GARCH避險模型好；在變幅波動變數的比較上，CCC- GARCH避險模型加入以Parkinson (1980) 或 Garman and Klass (1980) 或Rogers and Satchell (1991) 所估算波動率的避險模型並無一致的結果；在基差和變幅波動變數的比較上，CCC- GARCH避險模型加入不對稱基差的避險績效最佳，而不考慮變數的CCC-GARCH模型避險績效最差。最後，以優勢預測能力檢定（Superior Predictive Ability Test；SPA）模型檢定，評估模型預測績效優劣，CCC- GARCH避險模型加入不對稱基差，可提供投資人決定最適避險比率及衡量避險績效之參考。
    This thesis takes S&P 500, Dow Jones, FTSE 100 and Taiwan stock indexs as the research object. The sample period covers from 1/1/2001 to 31/12/2008.With the use of the constant conditional correlation GARCH framework, and incorporating the decomposed basis and range volatility into the model to estimate hedging performances. The empirical results indicate that asymmetry effect model provides better hedging performance than the symmetric effect model and CCC-GARCH model. The hedging performance of CCC-GARCH also improves significantly by the inclusion of extreme-value volatility. The volatility estimates, based on the Parkinson estimator, provide better forecasts than those based on the Garman and Klass or Rogers Satchell estimator. Furthermore, use the SPA Test to determine which model has better accuracy in predicting the hedging performance of the actual market. In conclusion, the result indicates that asymmetric basis effect model has the best hedging performances. Asymmetric basis effect model provides investors to decide the hedging ratio of futures and to measure hedging performance.
    顯示於類別:[財務金融學系暨研究所] 學位論文

    文件中的檔案:

    檔案 大小格式瀏覽次數
    index.html0KbHTML263檢視/開啟

    在機構典藏中所有的資料項目都受到原著作權保護.

    TAIR相關文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回饋