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    题名: 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
    贡献者: 郭維裕
    李佩紜
    关键词: 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
    上传时间: 2013-07-11 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。
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    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
    数据类型: thesis
    显示于类别:[國際經營與貿易學系 ] 學位論文

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