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    Title: 評估DCC-GARCH及Realized-GARCH模型之避險績效
    Other Titles: Evaluate the DCC-GARCH and Realized-GARCH model hedging performance
    Authors: 伍智培;Wu, Chih-Pei
    Contributors: 淡江大學財務金融學系碩士班
    邱建良
    Keywords: 經濟價值;避險績效;最小變異避險比率;已實現變異數;已實現雙冪次變異數;已實現三冪次變異數;DCC-GARCH模型;DCC-Realized-GARCH模型;Minimum Variance Hedge Ratio;Realized variance;Bi-power realized variance;Tri-power realized variance;DCC-GARCH;DCC-Realized-GARCH;Economic Value;Hedging performance
    Date: 2013
    Issue Date: 2014-01-23 13:31:46 (UTC+8)
    Abstract: 本文以在芝加哥商品交易所交易的S&P 500期貨價格以及現貨價格為主要研究對象,研究期間取自2002年1月1日至2008年12月31日止,其中,樣本內期間設為2002年1月1日至2006年12月31日,樣本外期間設為2007年1月1日至2008年12月31日,使用視窗滾動法來估計。用了不同避險績效的衡量方法,包括變異數(Variance)與半變異數(Semi-variance)、效用函數(Utility function)、風險值(VaR)、條件風險值(CVaR)以及經濟價值(Economic value)等來估計已實現波動(Realized variance)、已實現雙冪次變異(Bi-power realized variance)以及已實現三冪次變異(Tri-power realized variance)避險模型之樣本外避險績效。
    實證結果發現:1.樣本外期間的避險績效,以DCC-Realized-GARCH-RV30避險考慮避險交易成本之因素,為了要貼近實務上的現實面,運用效用函數來評估避險模型效果最佳,不論是在統計分析或是經濟分析上皆是最優的。2.再來,本文同時績效和經濟價值,最後以DCC-Realized-GARCH-RBV30模型於多頭避險時稍微表現良好且經濟價值為正,至於其他模型都沒有原來的DCC-GARCH 來的好,甚至原本最好的DCC-Realized-GARCH-RV30在考慮交易成本之後避險績效降低很多且經濟價值由正轉負,因此考慮交易成本於實務上並不可行,由於實務上無法每天調整避險比率。
    In this paper , we used the data from Chicago Mercantile Exchange which trades S&P 500 futures prices and spot prices as the main object of study . The researching period was from 1 January 2002 to 31 December 2008 ended, in which the in-the-sample period was set in 1 January 2002 to 31 December 2006 , and the out-of-sample heding period was set in 1 January 2007 to 31 December 2008 , using the rolling windows method to estimate it .The paper used the various methods to evaluate the out-of-sample hedging performance under the hedging models : Realized variance、Bi-power realized variance and Tri-power realized variance , these methods were the Variance、Semi-variance、Utility function、VaR、CVaR and Economic value.
    The empirical results showed that : 1.Under the out-of-sample hedging performance period , the DCC-Realized-GARCH-RV30 hedging model worked best both in statistical analysis and economic analysis. 2.And then the paper considered the transaction cost , in order to be close to the reality , we used the Utility function to evaluate the hedging performance and Economic value . In the end , only the DCC-Realized-GARCH-RBV30 hedging model was superior to DCC-GARCH hedging model , and had the positive Economic value under the long hedge , hence , the conclusion was inconsistent with the circumstance which did not consider the transaction cost . Transaction cost were therefore considered not feasible in practice , because in practice it could not adjust hedge ratio daily.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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