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題名 避險比率估計引入長記憶效果- 以臺灣股票指數期貨為例
Introducing long-memory effect into hedge ratio estimation: An example of TWSE stock index futures
作者 李佩紜
貢獻者 郭維裕
李佩紜
關鍵詞 異質性自我相關已實現共變異數矩陣模型(HAR-RC)
緩長記憶
已實現變異數
已實現共變異數
避險比率
日期 2012
上傳時間 11-Jul-2013 16:14:37 (UTC+8)
摘要 財務金融的投資分析、管理上，有關波動度的討論向來為重要的一環。若我們能精確地估計兩市場個別之波動度，以及跨市場波動度的關聯性，則可以用以有效地建構避險比率，以降低投資風險，使投資部位之獲利結果更為明確。本文旨在利用Corsi (2005)提出之異質性自我相關已實現共變異數矩陣模型(HAR-RC)概念，搭配日內高頻資料，檢測臺灣發行量加權股價指數報酬率波動度、股價指數期貨報酬率波動度，以及兩市場之間的共變異程度是否存在緩長記憶現象。且進一步以此模型估計變異、共變異數，用以計算避險比率。實證結果顯示：僅發行量加權股價指數報酬率波動度具長期記憶，股價指數期貨報酬率波動度則僅存在短期記憶。且在此設定下，HAR-RC模型未能有效估計此兩市場之共變異程度，因此無法求得良好績效的避險比率。
參考文獻 Alderson, Michael J., and Zivney, Terry L., 1989, Optimal cross-hedge portfolios for hedging stock index options, Journal of Futures Markets 9, 67-75.
Andersen, Torben G., Bollerslev, Tim, Diebold, Francis X., and Ebens, Heiko, 2001, The distribution of stock returns volatilities, Journal of Financial Economics 61, 43-76.
Andersen, Torben G., Bollerslev, Tim, Diebold, Francis X., and Labys, Paul, 2003, Modeling and forecasting realized volatility, Econometrica 71, 579-625.
Areal, Nelson M., and Taylor, Stephen J., 2002, The realized volatility of FTSE-100 futures prices, The Journal of Futures Markets 22, 627-648.
Bauer, Gregory H., and Vorkink, Keith, 2007, Multivariate realized stock market volatility, Working Paper, Bank of Canada.
Bollerslev, Tim, 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics 31, 307-327.
Corsi, Fulvio, 2005, Measuring and modeling realized volatility: from tick-by-tick to long memory, Working paper, University of Lugano.
Corsi, Fulvio, 2009, A simple approximate long-memory model of realized volatility, Journal of Financial Econometrics 7, 174-196.
Corsi, Fulvio, Mittnik, Stefan, Pigorsch, Christian, and Pigorsch, Uta, 2008, The volatility of realized volatility, Econometric Reviews 27, 46-78.
Corsi, Fulvio, Peluso, Stefano, and Audrino, Francesco, 2012, Missing in asynchronicity: a Kalman-EM approach for multivariate realized covariance estimation, Discussion paper, University of St. Gallen.
Engle, Robert F., 1982, Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation, Econometrica 50, 987-1007.
Engle, Robert F., and Mustafa, Chowdhury, 1992, Implied ARCH models from options prices, Journal of Econometrics 52, 289-311.
Engle, Robert F., 1999, Dynamic conditional correlation―a simple class of multivariate GARCH models, Working paper.
Fama, Eugene F., 1965, The behavior of stock-market prices, The Journal of Business 38, 34-105.
Figlewski, Stephen, 1984, Hedging performance and basis risk in stock index futures, The Journal of Finance 39, 657-669.
Heston, Steven L., 1993, A closed-form solution for options with stochastic volatility with applications to bond and currency options, The Review of Financial Studies 6, 327-343.
Lamberton, Damien, and Lapeyre, Bernard, 1992, Hedging index options with few assets, Mathematical Finance 3, 25-41.
Lamoureux, Christopher G., and Lastrapes, William D., 1990, Persistence in variance, structural change, and the GARCH model, Journal of Business & Economic Statistics 8, 225-234.
Lien, Donald, 1996, The effect of the cointegration relationship on futures hedging: a note, The Journal of Futures Markets 16, 773-780.
Lien, Donald, 2005, A note on the superiority of the OLS hedge ratio, The Journal of Futures Markets 25, 1121-1126.
Maheu, John M., McCurdy, Thomas H., 2002, Nonlinear features of realized FX volatility, Review of Economics and Statistic 84, 668-681.
Mandelbrot, Benoit, 1963, The variation of certain speculative prices, The Journal of Business 36, 394-419.
Martens, Martin, van Dijk, Dick, and de Pooter, Michiel, 2004, Modeling and forcasting S&P 500 volatility: long memory, structural breaks and nonlinearity, Working paper, Tinbergen Institute.
Martens, Martin, and van Dijk, Dick, 2006, Measuring volatility with the realized range, Econometric Institute Report.
Myers, Robert J., and Thompson, Stanley R., 1989, Generalized optimal hedge ratio estimation, American Journal of Agricultural Economics 71, 858-868.
Natenberg, Sheldon, 1994, Option volatility and pricing, Chicago: Probus Publishing Company.
Parkinson, Michael, 1980, The extreme value method for estimating the variance of the rate of return, Journal of Business 53, 61-65.
Stein, Elias M., and Stein, Jeremy C., 1991, Stock price distributions with stochastic volatility: and analytic approach, The Review of Financial Studies 4, 727-752.
蔡垂君，2002，緩長記憶模型應用於新加坡摩根台灣股價指數期貨之研究，中華管理學報，第三卷第二期：75-88。
蘇義凱，2007，台股指數現貨與期貨市場波動性之長短期效果及關聯性，碩士學位論文，中原大學。
王毓敏與謝志正，2009，預測股價指數波動率―新VIX與長期記憶模型之比較，中山管理評論，第17卷第一期：11-45
唐勇與池云果，2010，基於已實現波動率的長記憶性分析，福州大學學報，第5期：27-48。
臺灣證券交易所網站。www.twse.com.tw
台灣期貨交易所網站。www.taifex.com.tw
描述 碩士
國立政治大學
國際經營與貿易研究所
100351038
101
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0100351038
資料類型 thesis
dc.contributor.advisor 郭維裕zh_TW
dc.contributor.author (Authors) 李佩紜zh_TW
dc.creator (作者) 李佩紜zh_TW
dc.date (日期) 2012en_US
dc.date.accessioned 11-Jul-2013 16:14:37 (UTC+8)-
dc.date.available 11-Jul-2013 16:14:37 (UTC+8)-
dc.date.issued (上傳時間) 11-Jul-2013 16:14:37 (UTC+8)-
dc.identifier (Other Identifiers) G0100351038en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/58762-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 國際經營與貿易研究所zh_TW
dc.description (描述) 100351038zh_TW
dc.description (描述) 101zh_TW
dc.description.abstract (摘要) 財務金融的投資分析、管理上，有關波動度的討論向來為重要的一環。若我們能精確地估計兩市場個別之波動度，以及跨市場波動度的關聯性，則可以用以有效地建構避險比率，以降低投資風險，使投資部位之獲利結果更為明確。本文旨在利用Corsi (2005)提出之異質性自我相關已實現共變異數矩陣模型(HAR-RC)概念，搭配日內高頻資料，檢測臺灣發行量加權股價指數報酬率波動度、股價指數期貨報酬率波動度，以及兩市場之間的共變異程度是否存在緩長記憶現象。且進一步以此模型估計變異、共變異數，用以計算避險比率。實證結果顯示：僅發行量加權股價指數報酬率波動度具長期記憶，股價指數期貨報酬率波動度則僅存在短期記憶。且在此設定下，HAR-RC模型未能有效估計此兩市場之共變異程度，因此無法求得良好績效的避險比率。zh_TW
dc.description.tableofcontents 摘要 I
Abstract II
目錄 III
表次 IV
圖次 V
第一章 研究動機與目的 1
第二章 文獻回顧及探討 2
第一節 波動度的代理變數 2
第二節 緩長記憶模型種類 4
第三節 避險策略探討 7
第三章 研究方法 10
第一節 已實現變異數估計量 10
第二節 異質性自我相關已實現共變異數矩陣實證模型 12
第三節 避險策略及績效評估 13
第四章 實證結果與分析 14
第一節 樣本來源、處理與資料描述 14
第二節 模型實證結果 25
第三節 實證結果比較分析 29
第五章 結論與建議 35
第一節 結論 35
第二節 建議與未來研究方向 36

參考文獻 37		zh_TW
dc.format.extent 868097 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0100351038en_US
dc.subject (關鍵詞) 異質性自我相關已實現共變異數矩陣模型(HAR-RC)zh_TW
dc.subject (關鍵詞) 緩長記憶zh_TW
dc.subject (關鍵詞) 已實現變異數zh_TW
dc.subject (關鍵詞) 已實現共變異數zh_TW
dc.subject (關鍵詞) 避險比率zh_TW
dc.title (題名) 避險比率估計引入長記憶效果- 以臺灣股票指數期貨為例zh_TW
dc.title (題名) Introducing long-memory effect into hedge ratio estimation: An example of TWSE stock index futuresen_US
dc.type (資料類型) thesisen
dc.relation.reference (參考文獻) Alderson, Michael J., and Zivney, Terry L., 1989, Optimal cross-hedge portfolios for hedging stock index options, Journal of Futures Markets 9, 67-75.
Andersen, Torben G., Bollerslev, Tim, Diebold, Francis X., and Ebens, Heiko, 2001, The distribution of stock returns volatilities, Journal of Financial Economics 61, 43-76.
Andersen, Torben G., Bollerslev, Tim, Diebold, Francis X., and Labys, Paul, 2003, Modeling and forecasting realized volatility, Econometrica 71, 579-625.
Areal, Nelson M., and Taylor, Stephen J., 2002, The realized volatility of FTSE-100 futures prices, The Journal of Futures Markets 22, 627-648.
Bauer, Gregory H., and Vorkink, Keith, 2007, Multivariate realized stock market volatility, Working Paper, Bank of Canada.
Bollerslev, Tim, 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics 31, 307-327.
Corsi, Fulvio, 2005, Measuring and modeling realized volatility: from tick-by-tick to long memory, Working paper, University of Lugano.
Corsi, Fulvio, 2009, A simple approximate long-memory model of realized volatility, Journal of Financial Econometrics 7, 174-196.
Corsi, Fulvio, Mittnik, Stefan, Pigorsch, Christian, and Pigorsch, Uta, 2008, The volatility of realized volatility, Econometric Reviews 27, 46-78.
Corsi, Fulvio, Peluso, Stefano, and Audrino, Francesco, 2012, Missing in asynchronicity: a Kalman-EM approach for multivariate realized covariance estimation, Discussion paper, University of St. Gallen.
Engle, Robert F., 1982, Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation, Econometrica 50, 987-1007.
Engle, Robert F., and Mustafa, Chowdhury, 1992, Implied ARCH models from options prices, Journal of Econometrics 52, 289-311.
Engle, Robert F., 1999, Dynamic conditional correlation―a simple class of multivariate GARCH models, Working paper.
Fama, Eugene F., 1965, The behavior of stock-market prices, The Journal of Business 38, 34-105.
Figlewski, Stephen, 1984, Hedging performance and basis risk in stock index futures, The Journal of Finance 39, 657-669.
Heston, Steven L., 1993, A closed-form solution for options with stochastic volatility with applications to bond and currency options, The Review of Financial Studies 6, 327-343.
Lamberton, Damien, and Lapeyre, Bernard, 1992, Hedging index options with few assets, Mathematical Finance 3, 25-41.
Lamoureux, Christopher G., and Lastrapes, William D., 1990, Persistence in variance, structural change, and the GARCH model, Journal of Business & Economic Statistics 8, 225-234.
Lien, Donald, 1996, The effect of the cointegration relationship on futures hedging: a note, The Journal of Futures Markets 16, 773-780.
Lien, Donald, 2005, A note on the superiority of the OLS hedge ratio, The Journal of Futures Markets 25, 1121-1126.
Maheu, John M., McCurdy, Thomas H., 2002, Nonlinear features of realized FX volatility, Review of Economics and Statistic 84, 668-681.
Mandelbrot, Benoit, 1963, The variation of certain speculative prices, The Journal of Business 36, 394-419.
Martens, Martin, van Dijk, Dick, and de Pooter, Michiel, 2004, Modeling and forcasting S&P 500 volatility: long memory, structural breaks and nonlinearity, Working paper, Tinbergen Institute.
Martens, Martin, and van Dijk, Dick, 2006, Measuring volatility with the realized range, Econometric Institute Report.
Myers, Robert J., and Thompson, Stanley R., 1989, Generalized optimal hedge ratio estimation, American Journal of Agricultural Economics 71, 858-868.
Natenberg, Sheldon, 1994, Option volatility and pricing, Chicago: Probus Publishing Company.
Parkinson, Michael, 1980, The extreme value method for estimating the variance of the rate of return, Journal of Business 53, 61-65.
Stein, Elias M., and Stein, Jeremy C., 1991, Stock price distributions with stochastic volatility: and analytic approach, The Review of Financial Studies 4, 727-752.
蔡垂君，2002，緩長記憶模型應用於新加坡摩根台灣股價指數期貨之研究，中華管理學報，第三卷第二期：75-88。
蘇義凱，2007，台股指數現貨與期貨市場波動性之長短期效果及關聯性，碩士學位論文，中原大學。
王毓敏與謝志正，2009，預測股價指數波動率―新VIX與長期記憶模型之比較，中山管理評論，第17卷第一期：11-45
唐勇與池云果，2010，基於已實現波動率的長記憶性分析，福州大學學報，第5期：27-48。
臺灣證券交易所網站。www.twse.com.tw
台灣期貨交易所網站。www.taifex.com.tw		zh_TW