臺灣博碩士論文加值系統

本文以在芝加哥商品交易所交易的S&P 500期貨價格以及現貨價格為主要研究對象，研究期間取自2002年1月1日至2008年12月31日止，其中，樣本內期間設為2002年1月1日至2006年12月31日，樣本外期間設為2007年1月1日至2008年12月31日，使用視窗滾動法來估計。用了不同避險績效的衡量方法，包括變異數(Variance)與半變異數(Semi-variance)、效用函數(Utility function)、風險值(VaR)、條件風險值(CVaR)以及經濟價值(Economic value)等來估計已實現波動(Realized variance)、已實現雙冪次變異(Bi-power realized variance)以及已實現三冪次變異(Tri-power realized variance)避險模型之樣本外避險績效。
實證結果發現:1.樣本外期間的避險績效，以DCC-Realized-GARCH-RV30避險考慮避險交易成本之因素，為了要貼近實務上的現實面，運用效用函數來評估避險模型效果最佳，不論是在統計分析或是經濟分析上皆是最優的。2.再來，本文同時績效和經濟價值，最後以DCC-Realized-GARCH-RBV30模型於多頭避險時稍微表現良好且經濟價值為正，至於其他模型都沒有原來的DCC-GARCH 來的好，甚至原本最好的DCC-Realized-GARCH-RV30在考慮交易成本之後避險績效降低很多且經濟價值由正轉負，因此考慮交易成本於實務上並不可行，由於實務上無法每天調整避險比率。

In this paper , we used the data from Chicago Mercantile Exchange which trades S&P 500 futures prices and spot prices as the main object of study . The researching period was from 1 January 2002 to 31 December 2008 ended, in which the in-the-sample period was set in 1 January 2002 to 31 December 2006 , and the out-of-sample heding period was set in 1 January 2007 to 31 December 2008 , using the rolling windows method to estimate it .The paper used the various methods to evaluate the out-of-sample hedging performance under the hedging models : Realized variance、Bi-power realized variance and Tri-power realized variance , these methods were the Variance、Semi-variance、Utility function、VaR、CVaR and Economic value.
The empirical results showed that : 1.Under the out-of-sample hedging performance period , the DCC-Realized-GARCH-RV30 hedging model worked best both in statistical analysis and economic analysis. 2.And then the paper considered the transaction cost , in order to be close to the reality , we used the Utility function to evaluate the hedging performance and Economic value . In the end , only the DCC-Realized-GARCH-RBV30 hedging model was superior to DCC-GARCH hedging model , and had the positive Economic value under the long hedge , hence , the conclusion was inconsistent with the circumstance which did not consider the transaction cost . Transaction cost were therefore considered not feasible in practice , because in practice it could not adjust hedge ratio daily.

第一章 緒 論 1
第一節 研究背景與動機 1
第二節 研究目的與架構 3
第二章 期貨介紹及避險理論 7
第一節 期貨介紹(S&P500) 7
第二節 避險理論 11
第三節 國內外文獻回顧 13
一、 避險模型的探討 13
二、 已實現波動性文獻探討 18
三、 經濟價值文獻探討 21
四、 交易成本文獻探討 22
第三章 研究方法與理論模型 23
第一節 波動估計式 23
一、 已實現變異數(RV) 23
二、 已實現共變異數(Realized covariance) 23
三、 已實現雙冪次變異(RBV) 23
四、 已實現三冪次變異(RTV) 24
第二節 避險模型 26
一、 Realized GARCH模型 26
二、 DCC（Dynamic Conditional Correlation）模型 29
第三節 避險績效的衡量 34
一、 變異數 34
二、 半變異數、風險值及條件風險值 34
三、 效用函數 38
四、 經濟價值 39
第四章 實證結果與分析 41
第一節 資料來源與變數定義 41
一、 資料來源 41
二、 變數定義 41
第二節 樣本資料的基本統計量 43
第三節 實證模型之結果分析 45
第五章 結論 54
參考文獻 56
一、 國內文獻 56
二、 國外文獻 56

表 目 錄
【表 4.1 】S&P500S&P500S&P500S&P500 股價指數報酬率已實現波動度之基本統計量 ................................ ...... 44
【表 4.2 】現貨與期指數之參估計值 ................................ ................................ ............. 47
【表 4.3 】樣本外避險績效 ................................ ................................ ................................ ..... 48
【表 4.4 】以效用函數衡量樣本外之經濟價值 ................................ ................................ ..... 50
【表 4.5 】交易成本下的樣外避險績效 ................................ ................................ ............. 51
【表 4.6 】交易成本下以效用函數衡量樣外之經濟價值 ................................ ................. 52

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