碩士 / 清雲科技大學 / 經營管理研究所 / 98 / This paper is devoted to examine the forecasting performance of the future hedge ratio by using Box-Cox power transformation in Frror Correction Model (ECM) forecasts, in comparison with log-transformation. We examined the daily date from Taiwan Security & Fulures Exchange covering the period from June 1, 2007 to Dec 31, 2009. First, we test whether both Spot and Futures prices are unit root by using the ADF test. Second, we modeled the iong-term relationship and the shot-term relationship with Box-Cox and Log transformations. Third, we compared the performance of two-hedge rations by using mean absolute relative error (MARE), mean absolute error (MAE), and root mean square error (RMSE). Our results showed that the Box-Cox power transformation provides outperforming forecasts in Error Correction Morel (EMC) and is recommendable to forecasting practice.
| Identifer | oai:union.ndltd.org:TW/098CYU05457026 |
| Date | January 2010 |
| Creators | Fang-Chieng Chiu, 邱方蒨 |
| Contributors | 王啟秀 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 39 |
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