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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/93817

    Title: 各國波動度指數期貨之避險效益分析
    Other Titles: Analysis of hedging effectiveness in international volatility futures
    Authors: 簡瑋筠;Chien, Wei Yun
    Contributors: 淡江大學財務金融學系碩士班
    邱建良;Chiu, Chien-Liang
    Keywords: 波動度期貨;波動度;避險績效;VIX future;Volatility;Hedge performance
    Date: 2013
    Issue Date: 2014-01-23 13:33:01 (UTC+8)
    Abstract: 本文之主要研究目的為檢測波動度期貨的避險績效,並且利用美國地區和歐洲地區不同的波動度期貨加以比較分析。此外,本文利用波動度期貨的避險績效結合大盤股票指數之歷史報酬波動判斷現貨波動之幅度用以判斷交易時機。VIX期貨、Mini-VIX期貨代表的是美國期貨市場的樣本,VSTOXX MINI期貨代表歐洲期貨市場的樣本,現貨部分為S&P500指數、EURO STOXX 50 指數收盤價,樣本期間則涵蓋2010年8月2日至2012年7月31日之每日收盤價交易資料,而實證模型除了採用GARCH外,本文進一步採用不同分配之GARCH模型進行檢測,分別為T分配及厚尾分配之GARCH模型。
    This thesis investigates hedge performance of VIX future in American area and Europe area. Besides, the thesis combines stock price index’s history return with hedge performance of VIX future for determining volatility and testing the trading timing. VIX futures, Mini-VIX futures represent sample of the American future market. VSTOXX MINI future represents Europe future madrket. There are S&P500 index and EURO STOXX 50 index in spot market. The thesis uses daily close price data during August 2, 2010 to July 31, 2012. In this paper, three different distributions specified with GARCH model, that is, GARCH, GARCH-T and GARCH-HT.
    Empirical findings indicate: (1) There is superior hedging effectiveness in one month.(2) This thesis regard stock index return’s volatility as criteria . Hedging effectiveness show positive correlation with hedging period in American area and Europe area don’t. (3) When the investors hold shortly, the hedging effectiveness will be negative in American area. (4) Both GARCH-T model and GARCH-HT model are superior to GARCH model, when the distribution of Future market exhibits leptokurtic and fat-tailed.(5) GARCH-HT model that use DM test to demonstrate the out-sample volatility predicting during in 10 days is more appropriate in comparison with GARCH-T model .
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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