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題名：使用考慮正負不對稱基差效果之馬可夫狀態轉換時變相關係數GARCH模型進行能源期貨避險
書刊名：管理學報
作者：李享泰 引用關係／彭智煒
作者(外文)：Lee, Hsiang-tai／Peng, Chih-wei
出版日期：2010
卷期：27:5
頁次：頁479-501
主題關鍵詞：期貨避險；GARCH模型；狀態轉換；正負不對稱基差效果；Futures hedging；GARCH model；Regime-switching；Asymmetric basis effect
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  • 被引用次數被引用次數:期刊(1) 博士論文(0) 專書(0) 專書論文(0)
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  • 點閱點閱:38
本文應用考慮正負不對稱基差效果之馬可夫狀態轉換時變相關係數GARCH模型(Markov regime-switching time-varying correlation GARCH model with asymmetric basis effect; RS-VC-Basis-CARCH)進行能源期貨避險，這個模型將Lee and Yoder (2007a)所提出的馬可夫狀態轉換時變相關係數GARCH模型(Markov regime-switching time-varying correlation GARCH model with asymmetric basis effect; RS-VC-Basis-CARCH)及Lien and Yang(2006)所提出之考慮正負不對稱基差效果的時變相關係數GARCH模型(Time-varying correlation CARCH with asymmetric basis effect; RS-VC-Basis-CARCH)相結合，探討同時考慮馬可夫狀態轉換及不對稱差效果對期貨避險的影響。相文採用原油(Crude oil)、熱燃油(Heating oil)、汽油(Gasoline)及丙皖(Propane)等能源現貨期資料進行避險實證，結果發現加入狀態轉換後對所有資料均可改善其樣本外的避險績效，且熱燃油及丙皖在同時變加入狀態轉換及正負不對稱基差效果後比只有考慮狀態轉換效果更進一步改善避險績效。
This article applies a Markov regime-switching time-varying correlation GARCH model with asymmetric basis effect (RS-VC-Basis-GARCH) for energy futures hedging. This model nests within it the Markov regime switching time-varying correlation GARCH (RS-VC-GARCH) proposed by Lee and Yoder and the Time-varying correlation GARCH model with asymmetric basis effect (VC-Basis-GARCH,) proposed by Lien and Yang (2006). We investigate simultaneously the effects of Markov regime-switching and the asymmetric basis on futures hedging. Four energy futures, crude oil, heating oil, gasoline and propane data are used for empirical study. We find that taking account of the effect of regime-switching improves the hedging performance out-of-sample for all data and taking account of both the effects of regime-switching and asymmetric basis further improves the hedging performance for heating oil and propane.
期刊論文
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11.Park, Tae H.、Switzer, Lorne N.(1995)。Bivariate GARCH Estimation of the Optimal Hedge Ratios for Stock Index Futures: A Note。Journal of Futures Markets，15(1)，61-67。  new window
12.Lien, D.、Yang, L.(2006)。Spot-futures spread, time-varying correlation, and hedging with currency futures。Journal of Futures Markets，26(10)，1019-1038。  new window
13.Tong, Wilson H. S.(1996)。An Examination of Dynamic Hedging。Journal of International Money and Finance，15(1)，19-35。  new window
14.Gray, S. F.(1996)。Modeling the Conditional Distribution of Interest Rates as a Regime Switching Process。Journal of Financial Economics，42(1)，27-62。  new window
15.Engle, Robert F.、Kroner, Kenneth F.(1995)。Multivariate simultaneous generalized arch。Econometric Theory，11(1)，122-150。  new window
16.Tse, Y. K.、Tsui, Albert K. C.(2002)。A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model with time-varying correlations。Journal of Business and Economic Statistics，20(3)，351-362。  new window
17.Bollerslev, Tim(1986)。Generalized Autoregressive Conditional Heteroskedasticity。Journal of Econometrics，31(3)，307-327。  new window
18.Bollerslev, Tim(1990)。Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model。The Review of Economics and Statistics，72(3)，498-505。  new window
19.Ederington, Louis H.(1979)。The Hedging Performance of the New Futures Markets。Journal of Finance，34(1)，157-170。  new window
20.Kroner, Kenneth F.、Sultan, Jahangir(1993)。Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures。Journal of Financial and Quantitative Analysis，28(4)，535-551。  new window
21.Engle, Robert F.(1982)。Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation。Econometrica，50(4)，987-1008。  new window
22.Alizadeh, A., Nomikos, N. and Pouliasis, P.,(2008)。A Markov Regime Switching Approach for Hedging Energy Commodities。Journal of Banking & Finance，32(9)，1970-1983。  new window
23.Lee, H. T.(2009)。A Copula-Based Markov Regime Switching GARCH Model for Optimal Futures Hedging。Journal of Futures Markets，29(10)，946-972。  new window
24.Lee, H. T. and Yoder, J. K.,(2007)。A Bivariate Markov Regime Switching GARCH Approach to Estimate time Varying Minimum Variance Hedge Ratios。Applied Economics，39(10)，1253-1265。  new window
25.Lee, H. T., Yoder, J. K., Mittelhammer, R. C. and McCluskey, J. J.,(2006)。A Random Coefficient Autoregressive Markov Regime Switching Model for Dynamic Futures Hedging。The Journal of Futures Markets，26(2)，103-129。  new window
26.Lien, D. and Yang, L.,(2008)。Asymmetric Effect of Basis on Dynamic Futures Hedging: Empirical Evidence from Commodity Markets。Journal of Banking & Finance，32(2)，187-198。  new window
27.Myers, R. J.,(1991)。Estimating Time Varying Optimal Hedging Ratios on Futures Markets。The Journal of Futures Markets，11(1)，39-53。  new window
研究報告
1.Kogan, L., Livdan, D. and Yaron, A.,(2003)。Futures Prices in a Production Economy with Investment Constraints。  new window
 
 
 
 
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