กลยุทธ์การป้องกันความเสี่ยงของอัตราแลกเปลี่ยนเงินตราต่างประเทศโดยใช้ข้อมูลฮิสโตรแกรม

Abstract

This paper aims at studying the hedging strategy in the foreign exchange market. The top five countries which has the highest foreign exchange turnover by currency pair in the world, namely Canadian Dollar (USD/CAD) Chinese Yuan(USDICNY) Euro (USD/EUR) Pound Sterling (USD/GBP) and Yen (USD/JPY), are considered. This study considers 5 minutes, 30 minute, 60 minute and daily closing data of these datasets, therefore, a histogram approach is used as a management tool to manage our high frequency data. Various econometric models are considered to estimate the conditional correlation and covariance of futures and spot and the appropriate model is selected by using Bayesian Information Criterion (BIC) and Log-Likelihood (LL). This study found that the model MS-TVTP-COPULA GARCH is the most suitable. Besides, the model provides the highest overall average Hedge Effectiveness (HE) value when compared to other models. Therefore, the author cloud conclude that the market structure of foreign currencies, both the spot and futures,has a non-linear structure and structural change. Moreover, the spot and futures has dynamic structural. structural. The currencies that provide the highest hedge effectiveness is the 30-minutes USD/CAD. On the other hand, 60- minutes USD/CAD is lowest hedge effectiveness. Also, this study found that different data frequencies may provide different risk compensation results. Consequently, choosing to analyze data from the closing price each day may not be very reliable.