臺灣指數型證券投資信託基金之交叉避險績效──非對稱旋轉自我迴歸條件異質變異模型之應用

Cross Hedging Index Exchange Traded Funds in Taiwan: An Asymmetric Rotated ARCH Approach

本研究藉由一個新的旋轉自我迴歸條件異質變異模型，探討臺灣指數型證券投資信託基金之交叉避險績效。此模型的優點在於，其可提供資產更彈性且豐富的動態過程描述；而傳統自我迴歸條件異質變異模型則因正定條件的必須滿足對資產動態過程描述產生限制。本研究也加入非對稱項到此一新的模型中，允許在彈性及豐富性的環境下探討非對稱波動度效果在交叉避險績效的影響。實證結果顯示，來自市場好壞消息對交叉避險比率可產生不同的估計，進而影響樣本外交叉避險績效。除了藉由傳統變異數來評估之外，本研究也分析各種避險模式對銀行風險資本提列可能產生的衝擊。與傳統避險策略比較後發現，本研究提出的非對稱旋轉自我迴歸條件異質變異模型可降低銀行應提列之風險資本；本研究結果提供造市者設定最適臺灣指數型證券投資信託基金交叉避險策略之參考。

Exchange traded funds (ETFs) trading in Taiwan has experienced a remarkable growth since its inception in 2003. This paper investigates the out-of-sample performance of cross hedging ETFs in this fast growing market. A new rotated ARCH (RARCH) model class is employed to describe the joint distribution of returns, which allows richer variance and covariance dynamics. Even the fit can be improved when the asymmetric volatility effect is incorporated into the modeling. The ETF hedge ratios obtained from naïve to minimum variance strategies are compared, on the basis of both standard variance measure as well as the risk metrics that are required for setting the risk capital requirements. The empirical results show that allowing asymmetries to return shocks within the flexible framework enhances the ETF hedging effectiveness, particularly when the market is in turmoil. The findings should be of interest for ETF market makers who would like to reduce the market risk of their basket inventories due to order imbalances and inventory risks from heterogeneous investors.