台灣股價指數期貨的交叉避險績效

Cross Hedging Effectiveness of Taiwan Stock Index Futures

本文應用狀態轉換一般化正交GARCH模型（Regime Switching Generalized Orthogonal GARCH model; RSGO）檢驗台灣股價指數期貨對八大產業指數的交叉避險績效。狀態轉換一般化正交GARCH模型可以同時捕捉到時變及狀態相依的效果。實證結果顯示，一般而言無論樣本內或樣本外，動態避險策略較靜態避險有較佳的績效且狀態相依的避險策略較狀態獨立的避險策略有較佳的績效。根據Diebold, Mariano and West （DMW） 的統計檢定及McCracken調整後的臨界值顯示，狀態相依的RSGO顯著優於狀態獨立的GO。這些結果顯示在執行台灣股價指數期貨對八大產業指數的交叉避險時考慮狀態轉換效果的重要性。

This article investigates the cross hedging effectiveness of Taiwan stock index futures for eight Taiwan industry indices with a regime switching Generalized Orthogonal GARCH model (RSGO). RSGO captures both effects of time-varying and state-dependence. Empirical results show that in general dynamic hedging strategies outperform static OLS hedging and state-dependent hedging strategy is superior to the state-independent hedging strategies both in- and out-of-sample. Results of Diebold, Mariano and West (DMW) test with adjusted McCracken’s critical values also show the statistical superiority of RSGO over state-independent GO. This illustrates the importance of modeling regime switching effect when cross hedging with Taiwan stock index futures.