本文以日本股價指數為主要之研究對象，利用大阪日經225指數期貨與新加坡日經225指數期貨分別探討在空頭避險下應用常見計量模型之避險績效，並利用移動視窗(moving window)之方法分析在不同之模型中避險期間長短對於避險績效之影響，以得到最適之避險策略。實證結果發現，計量模型中以雙雙量GARCH模型之避險績效較其他模型(VAR和ECM)優越，且不論是以大阪日經225指數期貨或是以新加坡日經225指數期貨作為避險工具，皆發現隨著避險期間的增長，避險績效也隨之增加，避險績效與避險期間呈正向關係。最後實證結果也發現在不同之計畫模型與不同之避險期下，以新加坡日225股價指數期貨作為避險工具之避險績效顯著於以大阪日經225指數期貨作為避險工具之避險績效。因此本研究在面對日本股價指數波動時最適之避險策略為利用新加坡日經225指數期貨配合雙雙量GARCH模型，做長天期之避險可獲得較佳之避險績效。

This paper investigates the optimal hedge strategies between Nikkei225 index futures market and the underlying cash market using various models. We analyze that either hedge portfolios of OSE Nikkei225 index futures or SGX Nikkei225 index futures have better hedge performance to refrain from the loss of trading on the underlying spot market. The empirical results show the GARCH(1,1) model is superior to other model, such as ECM and VAR model. The hedging period exists positive relationship to the hedging performance either in OSE or SGX Nikkei225 index futures markets, longer the period, better the performance. Additionally, the SGX markets have superior hedging performance than OSE markets. Therefore, we suggest that traders should take the long-term hedge positions in SGX Nikkei225 futures markets when they face the volatility on the Nikkei225 spot markets.