金磚五國之期貨避險績效 : 應用Copula-based GJR-GARCH模型

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Title:	金磚五國之期貨避險績效 : 應用Copula-based GJR-GARCH模型
Other Titles:	Hedging performance for BRICS futures : a copula-based GJR-GARCH model
Authors:	柯星妤;Ke, Hsing-Yu
Contributors:	淡江大學財務金融學系碩士班李沃牆
Keywords:	避險績效;金磚五國;GJR-GARCH模型;Copula;Hedging performance;BRICs;GJR-GARCH model
Date:	2013
Issue Date:	2014-01-23 13:32:32 (UTC+8)
Abstract:	金磚五國(BRICS)在近幾年憑藉天然資源、勞動人力等優勢，已成全球經濟增長的重要源頭。與五國市場相關的衍生性商品受到投資人的青睞，其中，金磚五國的交易所推出的股價指數期貨，提供了股票持有人一個良好的避險工具，如何進行有效的避險，為本文研究探討的重點。本文現貨與期貨的研究資料使用巴西IBOVESPA指數、俄羅斯RTS指數、印度S&P CNX NIFTY指數、中國CSI300指數以及南非FTSE/JSE Shareholder Weighted Top40 指數。本文主要採用Copula-based GJR-GARCH 模型估計現貨與期貨報酬的最小變異避險比率，並和傳統避險模型、固定條件相關係數之CCC-GJR-GARCH模型以及動態條件相關係數之DCC-GJR-GARCH模型進行各個模型的避險績效之比較，找出最適的避險比率和最佳的模型。實證結果發現，除了中國CSI300指數外，其它四國在樣本內及樣本外的績效評估檢定下，均以Copula為基礎的GJR-GARCH模型的避險績效較傳統OLS模型佳。 In recent years, BRICS have become vital sources of growth in the global economy by the advantage of the natural resources and labor force. Derivatives products of BRICS market are favored by investors, including stock index futures are listed on the BRICS Exchanges, provide a good hedging tool for stock holders. The focus of this paper is how to conduct an effective hedging. The main data for empirical study consists of the IBOVESPA index, the RTS index, the S & P CNX NIFTY index, China Securities Index 300 (CSI 300) index and FTSE/JSE Shareholder Weighted Top40 index spots and futures. This paper uses copula-based GJR-GARCH models for the estimation of the optimal hedge ratio and compares their effectiveness with that of other hedging models, including the conventional static, the constant conditional correlation (CCC) GJR-GARCH, and the dynamic conditional correlation (DCC) GJR-GARCH models. The empirical results show that in both the in-sample and out-of-sample tests, the copula-based GJR-GARCH models perform more effectively than OLS model, except for CSI 300 index.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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