標題: 利用CCC與DCC模型估算能源期貨最適避險比率
Optimal Hedge Ratio of Energy Futures Using CCC and DCC Models
作者: 翁妮鈴
Ni-Ling Weng
周雨田
Ray Yeutien Chou
經營管理研究所
關鍵字: 能源期貨;CCC;DCC;GARCH;CARR;最適避險比率;Energy futures;CCC;DCC;GARCH;CARR;Optimal hedge ratio
公開日期: 2006
摘要:   由於能源商品不同於其他農產品商品的不可再生獨特性,輔以全球的油田有限,致使能源商品價格易受政治因素、季節性以及市場供需狀況的影響,再加上能源期貨的全球總交易量在2006年是大幅上漲的,顯示能源期貨交易在全球期貨交易市場中亦扮演著重要的角色,尤其機構投資人為能源期貨交易中最主要的參與者,因此,了解能源價格變動所產生的風險進而利用期貨或是其他衍生性商品避險的需求便應運而生。

  在早期的文獻中多利用傳統Naïve模型或OLS模型估算現貨與期貨間的避險比率,但此避險比率通常為一固定常數,對常有新資訊進入市場造成能源價格產生波動時,無法達到有效的避險,因此,在計算避險比率時,應確實考量市場狀況,所以,避險比率應隨時間改變而非固定不變,在本研究中就利用Bollerslev(1990)提出CCC模型與Engle(2002)提出的DCC模型搭配Bollerslev(1986)的GARCH模型與Chou(2005)提出的CARR模型估算輕甜原油期貨、熱燃油期貨與天然氣期貨的動態最適避險比率,研究資料期間為1995年1月2日至2007年3月27日的日資料,並與傳統Naïve模型或OLS模型估算的避險比率進行比較。

  在樣本內的實證結果中,輕甜原油期貨以CCC-GARCH模型、熱燃油以OLS模型以及天然氣以CCC-CARR模型為較佳的避險模型,但在樣本外的實證結果中,三種能源資產都是採用CCC-GARCH或DCC-GARCH模型有最佳的避險績效,顯見現貨與期貨間的避險比率並非為一固定常數,而是會隨著時間改變(time varying)的,另外,造成三種能源商品的樣本內外實證結果不同原因包括CARR模型無法完全配適樣本資料,以致於以報酬為基礎(return-based)的模型優於以變幅為基礎(range-based)的模型,再加上樣本期間皆存在結構轉變的現象,因而造成動態避險模型優於OLS模型。
  Crude oil keeps country’s economy running, and crude oil futures is one of the most actively traded commodity, as well as the world's largest-volume futures contract trading on a physical commodity. Energy price is highly dependent on global macroeconomic conditions, and what amount of energy futures contracts should be purchased to minimise the risk of holding spot energy is important issue in recent years.

  This research applies various methods in minimum-variance hedge strategy, and computes the Optimal Hedge Ratios (OHRs) between the amount of spot and futures for energy commodity prices using different econometric methods. Namely, using Dynamic Conditional Correlation, and DCC-CARR model proposed by Chou et. al. (2005) to compute OHRs. Other methods used for comparison include the ordinary least squares (OLS) estimator, Constant Correlation models and so on.

  The research period is from 1995 to 2007, and daily data is collected. Different methods are compared with each other in their hedging performance of variance-reduction. For the out of sample hedge, the CCC or DCC model is the best one for three commodities, and could to find the minimum-variance of a portfolio for investor. In conclusion, dynamic hedging model is better than the traditional OLS model. Meanwhile, the optimal hedge ratio is not constant, it should be time-varying.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT009437506
http://hdl.handle.net/11536/81785
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