| Summary: | 碩士 === 國立高雄科技大學 === 金融系 === 107 === This thesis uses the TWIFEX (Taiwan Futures Exchange) finance sector index futures and single stock futures to compare the hedge performance of the naïve hedge, the ordinary least square (OLS), 「the equally weighted moving average (MA), the exponentially weighted moving average (EWMA, λ=0.94), the EWMA (λ=0.96), and the bivariate GARCH model」. Additionally, this thesis also compares the difference in hedge performance between the financial sector index futures and single stock futures.
The empirical findings of this thesis are as follows：Since the return rates of the TWIFEX finance sector index futures and single stock futures have the leptokurtic distribution and non-normal distribution characteristics, the bivariate GARCH model has the best hedge performance. Additionally, regardless of the time-varying or non-time-varying hedge ratio estimators, the hedge performance of using financial sector stock futures is better than that of using financial sector index futures.
|
|---|
