鑑於基差收斂風險於避險過程扮演的重要角色，本計劃參考Chen et al. (1999)及Dark (2007)的作法，利用股票與外匯市場作為研究標的，將到期日效果納入基差與現貨模型，驗證基差收斂對於風險降低的影響效能，並探討到期效果增強是否導致傳統HVHR與考量基差收斂之BC-MVHRs (Basis-Convergence MVHRs) 差距加大，以作為驗證本文採用之基差-現貨避險模型是否有效提昇避險估計效能。此外，本計劃擬採用一個更充分包容諸多變異數特質的GARCH模型估算波動值，希冀透過資產報酬波動性妥適的描述，更為精確地對避險比率作評估，分析短期記憶與緩長記憶之相關GARCH模型，對於改善短期與長期避險績效的影響。 This paper examines the effects on dynamic minimum variance hedge ratios (MVHRs) from extending to allow for basis convergence and the asymmetric response toward positive and negative basis into hedging decision process. We attempt to specify a new bivariate GARCH model with maturity effect to describe the joint dynamics of the spot index and the futures-spot basis. Specifically, we characterize different hedging strategies on MVHRs estimations including a short memory and long memory volatility process for short-term and long-term hedging decisions.
