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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/73928


    Title: 應用Copula-GJR-GARCH模型於黃金期貨與白銀期貨之避險
    Other Titles: Applying Copula-GJR-GARCH model in the hedging of gold futures and silver futures
    Authors: 李莠苓;Lee, You-Ling
    Contributors: 淡江大學財務金融學系碩士班
    李沃牆
    Keywords: 黃金期貨避險;白銀期貨避險;Copula;the hedging of gold futures;the hedging of silver futures
    Date: 2011
    Issue Date: 2011-12-28 17:33:29 (UTC+8)
    Abstract: 金融資產報酬通常為厚尾且非常態為主,而過去多數文獻的模型以常態分配為假設,而Copula函數能夠依據個別資料之間的關聯性找出最適之分配,使得模型的運用上更加有彈性。
    本文主要分別利用傳統避險模型、固定條件相關(CCC-GJR-GARCH)模型、動態條件相關(DCC-GJR-GARCH)模型以及以Copula-based GJR-GARCH模型,利用最小變異避險理論為避險績效衡量標準,依據樣本內及樣本外進行避險比率及避險績效的實證,找出最佳的模型,提供最適的避險比率之衡量與績效評估之比較。實證結果發現以Copula 為基礎的GJR-GARCH模型的避險績效較傳統OLS模型佳。
    Financial asset returns are usually fat-tailed and non-Gaussian. In the past, most
    of the literatures have the normal distribution assumption. The Copula functions that
    based on the relationship between the individual assets have more flexible than the
    other models to find the optimal allocation.
    In this paper, we use traditional hedging model, fixed conditional correlation
    (CCC-GJR-GARCH) model, dynamic conditional correlation (DCC-GJR-GARCH)
    model and the Copula-based GJR-GARCH model for the estimation of the optimal
    hedge ratio and the hedging performance measure by the theory of minimum variance.
    Empirical results show that the Copula-based GJR-GARCH models perform more
    effectively in the in-sample test. In addition, all of the dynamic hedging models
    perform more effectively than OLS model in the out-sample test.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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