Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/23631
標題: The Fat-tailed Effect and Hedging Effectiveness of Taiwan Stock Index Futures for Relative GARCH Models
以GARCH相關模型研究台股指數是否具厚尾效應及期貨避險績效
作者: 朱佩霞
Chu, Pei-Hsia
關鍵字: Hedge Performance
避險績效
Related GARCH Models
Fat-tailed Effect
GARCH相關模型
厚尾效應
出版社: 財務金融系所
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摘要: Because of the uncertainty in the stock market, many investors suffered tremendous loss by volatile stock market in recent ten years. How to manage the risk of investment portfolio became an important issue after the financial crisis in 2008. This paper takes advantage of related GARCH models to test the hedge performance in Taiwan index futures from 1998 to 2008. The results are as follows: First, the hedge performance becomes better as the degrees of risk aversion increases. Second, dynamic models have better predictability than static ones. Hence, the dynamic hedge performance is better than static hedge. Third, assuming the error distribution follows t distribution, the hedge performance is superior to the case with normal distribution of error, across the degrees of risk aversion. The results also show that the index has a fat-tailed effect. Forth, simplified GARCH, SGARCH, model can be used to compare GARCH with GJR-GARCH, replaced the original multivariate model with two univariate models. Fifth, assuming error distribution follows t distribution, the hedge performance of SGARCH would improve substantially. In addition, both out-of-sample predictability and hedge performance show that the GARCH model holds preferable results.
因股票市場存在許多不確定性,近十年歷經幾次劇烈波動後,許多投資人皆遭受嚴重損失,如何使自己的投資組合風險降到最低更成為大家所關注的焦點。本研究利用GARCH相關模型探討1998年9月至2008年9月台灣加權指數期貨的避險效果,經實證結果發現:1.隨著風險趨避程度的增加,避險績效也跟著提升。2.動態模型比靜態模型更能預測未來走勢,因此動態避險績效比靜態避險績效高。3.在任何風險趨避程度下,各模型在殘差為t分配的假設下,避險績效都顯著較常態分配為佳,顯示台指報酬數列具厚尾現象。4.將GARCH和GJR-GARCH套用至簡化後的模型SGARCH,即能比較GARCH模型績效GJR模型優,與未簡化之模型比較結果相同,如此一來,則可以簡化計算過程取代原始的multivariate model。5.在殘差為t分配的假設下,使SGARCH模型避險績效有大幅的提升。另外,在樣本外預測及避險績效的實證均顯示出GARCH模型的績效較佳。
URI: http://hdl.handle.net/11455/23631
其他識別: U0005-2506200916323100
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2506200916323100
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