以DCC模型探討股價指數期貨與現貨
、蔡垂君
E-mail: [email protected]
摘 要
金融市場全球化的來臨提供了全球投資人更多的市場投資獲利機會；然而，自由化與國際化的形成讓金融市場間交互影響 關係愈來愈高，也因此彼此間常會造成錯綜複雜的交互影響關係。本論文觀察法國CAC40、英國FTSE100、日
經NIKKEI225、美國E-MINI S&P500、德國DAX、韓國Kospi200等六個國家的股價指數期貨與現貨市場，並將該等市場資 訊導入Engle (2002)的DCC模型，並納入基差與不對稱的因素於模型中，以探討前一期正基差與負基差對股價指數期貨與現 貨的影響。 經實證分析結果顯示，股價指數期貨與現貨市場報酬率間相互影響之程度普遍呈現著高度相關，數列間的共變 異關係則為非固定型態。整體而言，股價指數期貨與現貨市場相互影響的持續性皆很高；在不對稱基差對變異數的影響方 面，除E-MINI S&P 500外，其餘國家的股價指數期貨與現貨市場皆有不對稱現象的存在，而且正基差對股價指數期貨與現 貨變異數所造成的波動影響明顯大於負基差產生的影響。此外，從不同實證模型中探討風險值穿透次數、穿透比率與LR 指標時，則可以發現不對稱DCC-GARCH模型比對稱DCC-GARCH模型表現為佳。
關鍵詞 : DCC-GARCH模型 ; 基差 ; 不對稱效果 ; 風險值
目錄
第一章 緒論．．．．．．．．．．．．．．．．．．．． 1 第一節 研究背景．．．．．．．．．．．．．．．． 1 第二節 研究問題與目的．．．．．．．．．．．．． 4 第三節 論文架構．．．．．．．．．．．．．．
．． 6 第二章 理論基礎與文獻回顧．．．．．．．．．．．．． 7 第一節 基礎理論．．．．．．．．．．．
．．．．． 7 第二節 期貨與現貨市場風險之實證文獻．．．．．． 15 第三節 本論文之貢獻．．．．．．．
．．．．．．． 23 第三章 研究方法．．．．．．．．．．．．．．．．．． 24 第一節 單根與共整合檢定．
．．．．．．．．．．． 24 第二節 DCC-GARCH模型適用性評估．．．．．．． 28 第三節 VaR風險值 設定評估．．．．．．．．．．． 32 第四章 實證結果與分析．．．．．．．．．．．．．．． 36 第一節 基本檢定．
．．．．．．．．．．．．．．． 36 第二節 DCC-GARCH模型之估計．．．．．．．．． 46 第三節 對稱與不對 稱DCC-GARCH模型比較．．．． 52 第四節 風險值之估計．．．．．．．．．．．．．． 54 第五章 結論與 建議．．．．．．．．．．．．．．．．． 58 第一節 結論．．．．．．．．．．．．．．．．．． 58 第二節 研究 建議．．．．．．．．．．．．．．．． 60 參考文獻 ．．．．．．．．．．．．．．．．．．．．．． 62
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