臺灣博碩士論文加值系統

本研究主要目的是探討美國公債期貨在不同避險模型下的避險效果.筆者
採用完全避險,傳統OLS,ECM,雙變數GARCH,雙變數GARCH星期,雙變數GARCH
季節. 資料期間為1990年到1996年期貨與現貨日資料及週資料.避險效果
分為樣本內避險效果及樣本外避險效果,其中1990年到1995年為樣本
內,1996年為樣本外. 週資料的避險期間分為一週,二週,及四週.

The goal of this study is to discuss the hedging effectiveness
of the T-bond futures under several hedging models. These models
are Naive, OLS, ECM, Bivariate GARCH, Bivariate GARCH-Week,
Bivariate GARCH-Season.The data is daily and weekly from 1990 to
1996.The hedging effectiveness is divided into in-sample and
out-sample. The in-sample one is from 1990 to 1995. The out-
sample one is on 1996. The hedging period of weekly data is
divided into one week, two weeks, and four weeks.