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標題: VIX ETN與SPY投資組合的風險外溢與避險效果
Modeling Volatility Spillover and Hedging VIX ETN with SPY
作者: 駱冠霖
Guan-Lin Luo
關鍵字: 交易所買賣指數票據;VIX ENT;Co-Volatility Spillovers;SPY;最適避險比率;Diagonal BEKK;Exchange Traded Note;VIX ENT;Co-Volatility Spillovers;SPY;Optimal Hedge Ratio;Diagonal BEKK
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近年來,由於黑天鵝事件頻傳使得投資者對於風險管理的重視,也促使了避險性資產多元化的發展,其中又以連結波動度風險因子的VIX ETPs最受歡迎。根據過往的研究發現到不同類型VIX ETPs存在著許多的特性,但鮮少有研究是以不同類型VIX ETN與 SPY配置而成的投資組合之避險效果。

本研究主要的研究目的乃是探討VIX ETN與SPY投資組合的風險外溢與避險效果。在Diagonal BEKK模型下,先利用Partial co-volatility spillovers來分析VIX ETN是否為SPY的動態避險工具,接著在使用SPY與對沖型ETN(VXX)、反向型ETN(ZIV)、槓桿型ETN(TVIX) 配置了三種不同類型的資產組合。最後在利用平均最適避險比率來分析第一類的投資組合(SPY、ZIV、TVIX)、第二類的投資組合(SPY、VXX、TVIX),第三類的投資組合(SPY、VXX、ZIV)之避險效果。從實證結果可以發現,(1) VXX 、TVIX及ZIV皆可做為SPY的避險工具。(2) 在SPY、ZIV and TVIX資產配置的模組中,槓桿型TVIX為避險工具來規避被避性資產SPY的效果是最佳。(3) 在SPY、VXX and TVIX資產配置的模組中,槓桿型TVIX為避險工具來規避被避性資產SPY的效果是最佳。(4) 在SPY、VXX and ZIV資產配置的模組中,沖銷型VXX為避險工具來規避被避性資產SPY的效果是最佳。

In recent years, the increasing frequency of Black Swan Events has made investors attach more importance to risk management, and also facilitated diverse development of assets for hedging, among which VIX ETPs linked to volatility risk is the most popular. According to the past researches we could find that there are many characteristics in different types of VIX ETPs; however, few studies focused on the hedging effect of portfolios of different types of VIX ETN and SPY. This paper mainly focuses on the risk spillover and hedging effect of the portfolios of VIX ETN and SPY. Under Diagonal BEKK model, first we analyze if VIX ETN is the dynamic hedging instrument of SPY through Partial co-volatility spillovers. Secondly, make three different portfolios using SPY with direct ETN (VXX), inverse ETN (ZIV), or leveraged ETN (TVIX). These three portfolios are (1) SPY, ZIV and TVIX, (2) SPY, VXX and TVIX, (3) SPY, VXX and ZIV. Finally, analyze the hedging effect of the three portfolios with optimal hedge ratio. The results show as the following: (1) VXX, TVIX, and ZIV can all be the hedging instrument of SPY. (2) Leveraged ETN TVIX can best avoid assets for hedged, SPY, as a hedging instrument among the portfolios of SPY, ZIV, and TVIX. (3) Leveraged ETN TVIX can best avoid assets for hedged, SPY, as a hedging instrument among the portfolios of SPY, VXX, and TVIX. (4) Direct ETN VXX can best avoid assets for hedged, SPY, as a hedging instrument to among the portfolios of SPY, VXX and ZIV.
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