Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 100 === This paper examines various hedging models, including OLS, NAIVE, DCC-GARCH and DCC-CARR to survey hedge performance in connection with metal commodities futures: gold, silver, platinum, copper and palladium by using proportional reduction in variance of portfolio and certainty equivalent. The result shows that the modeling technique of the DCC-CARR offers better risk reduction than other hedging models. It can boost hedge performance definitely by using dynamic changes of spot and futures price, also estimating conditional range to arrange hedge strategy. After hedging, most futures contracts can improve hedging effectiveness except for gold that can’t superior to the other model by using DCC-CARR. On the other hand, the study uses certainty equivalent method to Robustness test. The result shows that we can reach the maximum expect utility based on DCC-CARR model aside from gold and palladium.
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