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| Title: | 結合SOFAR進行降維分析外匯市場與大宗商品市場避險效果
The Hedging Effects of Foreign Exchange and Commodity Market in Dimension-Reduced Analysis with SOFAR |
| Authors: | 陳宇澤
Chen, Yu-Ze |
| Contributors: | 徐士勛
Hsu, Shih-Hsun
陳宇澤
Chen, Yu-Ze |
| Keywords: | 稀疏正交因子回歸法
避險
移動窗格
SOFAR
Hedge
Rolling Window |
| Date: | 2024 |
| Issue Date: | 2024-07-01 12:19:13 (UTC+8) |
| Abstract: | 本研究試圖結合Uematsu and Yamagata (2021) 所提出的稀疏正交因子迴歸
法(Sparse Orthogonal Factor Regression, SOFAR) 以及避險模型，針對外匯以及
大宗商品市場進行避險，樣本期間為2018 年1 月1 日至2023 年12 月31 日，總
共178 個變量，同時將資料分成升息循環與降息循環進行探討。
本文應用SOFAR 模型，對外匯以及大宗商品期貨資料進行維度縮減(Dimensional
Reduction)，將縮減後的稀疏因子放入OLS 以及GARCH 模型進行避險比
率估計，並結合移動窗格法(Rolling Window) ，以訓練比率80% 為基準，分別
對7 天、15 天、30 天、60 天以及90 天之週期進行樣本外預測。
本文實證發現，升息循環會使得多變量降維方法無效化，此時著重於單一資產
避險能夠獲得較佳的績效，而在降息循環時，SOFAR 能夠使大宗商品市場避險
績效更佳。在全樣本期間下，整體來說，結合SOFAR 進行避險能夠獲得更佳的
避險績效，並且本文證明在結合SOFAR 模型下，OLS 模型依舊較GARCH 模型
更適合用於外匯市場以及大宗商品市場之避險，與Lien, Tse, and Tsui (2002) 之
結果一致。
This paper aims to integrate the Sparse Orthogonal Factor Regression (SOFAR)
proposed by Uematsu and Yamagata (2021) with hedging models to conduct hedging
strategies for the foreign exchange and commodity markets. The sample period
spans from January 1, 2018, to December 31, 2023, encompassing a total of 178
variables. The data is divided into interest rate hike and cut cycles for further
analysis.
The SOFAR model is applied to foreign exchange and commodity futures data
for dimensional reduction, with the resulting sparse factors incorporated into OLS
and GARCH models for hedging ratio estimation. Additionally, a rolling window
approach is utilized with an 80% training ratio to perform out-of-sample forecasts
for 7-day, 15-day, 30-day, 60-day, and 90-day periods.
Empirical findings indicate that during interest rate hike cycles, multivariate
dimensional reduction methods become ineffective, and focusing on hedging single
assets yields better performance. Conversely, during interest rate cut cycles, SOFAR
enhances the hedging performance in the commodity markets. Over the entire
sample period, integrating SOFAR for hedging generally results in superior hedging
performance. Furthermore, this study demonstrates that, within the context of the
SOFAR model, the OLS model remains more suitable for hedging in the foreign
exchange and commodity markets compared to the GARCH model, corroborating
the findings of Lien, Tse, and Tsui (2002). |
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| Description: | 碩士
國立政治大學
經濟學系
111258028 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111258028 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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