臺灣博碩士論文加值系統

全球對能源需求殷切，原油為經濟活動中的重要資源之一。原油報酬的波動性叢聚、厚尾與極端事件易產生尾部關聯結構改變，因而避險常成為避險者的重要課題之一。本研究以1986年1月2日至2018年02月28日的西德州原油現貨與期貨為研究標的，在移動視窗架構與GARCH-EVT-Copula模型下，探討原油現貨與原油期貨的避險組合不同分配的最小變異數的避險績效。本研究發現常態分配與t分配的GARCH-EVT-Copula模型的最小變異數避險組合的避險績效無顯著差異。然而，波斯灣戰爭前與金融海嘯後的兩模型最小變異數避險組合的避險績效有顯著差異，本研究結果可做為投資人避險的參考。

The global market has a large demand of energy. Crude oil is one of important resources in economic activities. Because crude oil returns exists volatility clustering, fat-tail and dependence structure changes of tail behavior from extreme events, hedging plays an important role for producers. The study examined West Texas Intermediate crude oil spot and futures. The rolling-window method is used to study the hedging portfolio of West Texas Intermediate crude oil spot and futures by using GARCH-EVT-Copula model. Then, Comparing Normal distribution with Student-t distribution. The empirical results show that both hedging effectiveness of t distribution and Normal distribution don’t have significant difference. However, there are significant differences in the hedging performance of two models for the minimum variance hedging portfolio before the Persian Gulf War and after the financial crisis. These findings in this study can be used as a reference for investors.

目錄
目錄 I
圖目錄 II
表目錄 III
第一章　緒論 1
1.1 研究背景與動機 1
1.2 研究目的 8
1.3 研究範圍 8
1.4 研究架構 9
第二章　樣本與實證模型 11
2.1 樣本與資料來源 11
2.2 實證模型 11
第三章　原油現貨與期貨的避險績效實證結果分析 20
3.1 基本敘述統計量分析 20
3.2 單根檢定 23
3.3 極值分析 27
3.4 實證模型參數估計與檢定 28
3.5 西德州原油現貨與期貨的最小變異數避險組合的避險績效分析 31
第四章　結論與建議 36
4.1 結論 36
4.2 建議 36
參考文獻 38

圖目錄

圖1-1 研究流程 10
圖3-1 西德州原油現貨與期貨價格走勢圖 21
圖3-2 西德州原油現貨與期貨報酬走勢圖 21
圖3-3現貨與期貨報酬的常態Q-Q圖 27
圖3-4 移動視窗架構圖 28

表目錄
表3-1 日報酬基本敘述統計量 23
表3-2 ADF檢定 24
表3-3 PP檢定 25
表3-4 KPSS檢定 26
表3-5 GJR-GARCH參數估計與檢定 29
表3-6 GPD模型的參數估計與檢定 30
表3-7 Copula模型的參數估計與檢定 31
表3-8 最小變異數避險比率 31
表3-9 最小變異數避險績效的比較 32
表3-10 重大事件的最小變異數避險比率 33
表3-11 重大事件的最小變異數避險績效 34
表3-12 重大事件的最小變異數避險績效的比較 35

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