Applying the GWMA Method in Measuring the Dynamic Hedge Ratio in Cross-currency

碩士 === 國立中興大學 === 統計學研究所 === 107 === Exponentially weighted moving average (EWMA) is one of the most used commonly models in the field of finance. One of the major advantages of EWMA is that it gives more weight to the recent returns while calculating the returns. More and more papers suggest that g...

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Main Authors: Yu-Chuan Liu, 劉昱全
Other Authors: Ying-Lin Hsu
Format: Others
Language:zh-TW
Published: 2019
Online Access:http://ndltd.ncl.edu.tw/cgi-bin/gs32/gsweb.cgi/login?o=dnclcdr&s=id=%22107NCHU5337010%22.&searchmode=basic
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spelling ndltd-TW-107NCHU53370102019-11-30T06:09:39Z http://ndltd.ncl.edu.tw/cgi-bin/gs32/gsweb.cgi/login?o=dnclcdr&s=id=%22107NCHU5337010%22.&searchmode=basic Applying the GWMA Method in Measuring the Dynamic Hedge Ratio in Cross-currency 應用廣泛加權移動平均法衡量交叉貨幣之動態避險比率 Yu-Chuan Liu 劉昱全 碩士 國立中興大學 統計學研究所 107 Exponentially weighted moving average (EWMA) is one of the most used commonly models in the field of finance. One of the major advantages of EWMA is that it gives more weight to the recent returns while calculating the returns. More and more papers suggest that generally weighted moving average (GWMA) is more extensively applicable because of its sensitivity over micro measurements. In this study I examine the effectiveness of cross hedging the USD/TWD exchange rate changes with USD/JPY. We take advantage of Historical model, EWMA, GWMA and Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH model) to estimate optimal hedge ratio and compare these methods in different rolling data in this thesis. Moreover, we find out the optimal parameters in GWMA and EWMA by using numerical method. The empirical results suggest that GWMA model is a powerful model for hedging and should be recognized as a useful hedging strategy. Ying-Lin Hsu Shey-Huei Sheu 許英麟 徐世輝 2019 學位論文 ; thesis 62 zh-TW
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description 碩士 === 國立中興大學 === 統計學研究所 === 107 === Exponentially weighted moving average (EWMA) is one of the most used commonly models in the field of finance. One of the major advantages of EWMA is that it gives more weight to the recent returns while calculating the returns. More and more papers suggest that generally weighted moving average (GWMA) is more extensively applicable because of its sensitivity over micro measurements. In this study I examine the effectiveness of cross hedging the USD/TWD exchange rate changes with USD/JPY. We take advantage of Historical model, EWMA, GWMA and Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH model) to estimate optimal hedge ratio and compare these methods in different rolling data in this thesis. Moreover, we find out the optimal parameters in GWMA and EWMA by using numerical method. The empirical results suggest that GWMA model is a powerful model for hedging and should be recognized as a useful hedging strategy.
author2 Ying-Lin Hsu
author_facet Ying-Lin Hsu
Yu-Chuan Liu
劉昱全
author Yu-Chuan Liu
劉昱全
spellingShingle Yu-Chuan Liu
劉昱全
Applying the GWMA Method in Measuring the Dynamic Hedge Ratio in Cross-currency
author_sort Yu-Chuan Liu
title Applying the GWMA Method in Measuring the Dynamic Hedge Ratio in Cross-currency
title_short Applying the GWMA Method in Measuring the Dynamic Hedge Ratio in Cross-currency
title_full Applying the GWMA Method in Measuring the Dynamic Hedge Ratio in Cross-currency
title_fullStr Applying the GWMA Method in Measuring the Dynamic Hedge Ratio in Cross-currency
title_full_unstemmed Applying the GWMA Method in Measuring the Dynamic Hedge Ratio in Cross-currency
title_sort applying the gwma method in measuring the dynamic hedge ratio in cross-currency
publishDate 2019
url http://ndltd.ncl.edu.tw/cgi-bin/gs32/gsweb.cgi/login?o=dnclcdr&s=id=%22107NCHU5337010%22.&searchmode=basic
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