The Performance of Various Garch-Type Models in Pricing Exchange Rate Linked Derivatives 全文電子檔： [全文下載1]

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Project title

Code/計畫編號

MOST107-2410-H158-002

Translated Name/計畫中文名

不同GARCH類型之模型於評價匯率連動衍生性商品之表現分析

Project Coordinator/計畫主持人

Hsiao-Wei Ho

Funding Organization/主管機關

National Science and Technology Center for Disaster Reduction

Department/Unit

Department of Business Administration Shih Chien University

Website

https://www.grb.gov.tw/search/planDetail?id=12428161

Year

2018

Start date/計畫起

01-08-2018

Expected Completion/計畫迄

31-07-2019

Bugetid/研究經費

396千元

ResearchField/研究領域

財政（含金融，保險）

本研究中我們提出一二元GARCH跳躍模型，其中跳躍被設定發生於外國資產報酬以及匯率的動態過程中。在實務分析中，我們將分別利用道瓊、那斯達克、日經等指數，以及匯率和相關之衍生性商品之資料，來檢視跳躍在評價衍生性商品時所造成的影響。此外，本研究所提出的二元GARCH跳躍模型，連同以下兩個評價模型：(a) 二元 Heston-Nandi GARCH 模型；(b) 二元一般化雙曲GARCH 模型，將用以評價匯率連動衍生性商品並比較其表現。在預期結果中，我們期望二元GARCH跳躍模型相對於其他模型在評價匯率連動衍生性商品上能有更好的表現，而此結果也將強調在評價匯率連動衍生性商品時，把跳躍因子納入非線性不對稱模型的重要性。 In this study we consider a bivariate GARCH-jump model in which jumps take place in returns of the foreign asset price and the exchange rate with dynamic intensity. In the empirical analysis, our study plan to use the data of Dow Jones Industrial Average, NASDAQ, and NIKKEI indexes, exchange rates, and corresponding index derivatives to investigate the effects of jumps on derivatives pricing. Furthermore, the performance of the bivariate GARCH-jump model with the other two models in pricing quanto derivatives will be examined: (a) a bivariate Heston-Nandi GARCH model and (b) a bivariate generalized hyperbolic GARCH model. We expect that the bivariate GARCH-jump model with dynamic volatility and jumps outperforms the other two models, which will indicate the importance of incorporating jumps into nonlinear asymmetric models in pricing quanto derivatives.

Keyword(s)

二元 GARCH 模型
隨機波動度
匯率連動衍生性商品
Bivariate GARCH model
Stochastic volatility
Quanto derivatives

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The Performance of Various Garch-Type Models in Pricing Exchange Rate Linked Derivatives 全文電子檔： [全文下載1]

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