本文使用雙變量ADCC-TGARCH模型驗證外匯期貨與現貨隨時間變動的避險比率。由於本文研究期間涵蓋金融危機，故以網路泡沫、次級房貸危機及歐債危機等加入探討。研究結果顯示，16國外匯現貨與外匯期貨皆存在波動不對稱現象。進一步分析發現除了韓國、紐西蘭及瑞士外，避險比率受到壞消息衝擊時皆會增加。最後當金融危機發生時僅有英國、捷克、韓國、南非等國受到金融危機影響然而造成避險比率的變化。 This article uses ADCC-TGARCH model to test the time-varying hedge ratio of foreign currency futures and spot. Due to the facts that the study period covers financial crisis, thus the dot-com bubble, subprime crisis and European debt crisis is investigated. The empirical results show that asymmetric volatility appears in sixteen currencies. Further, hedge ratio increases following bad news impact except for South Korea, New Zealand, Switzerland. Finally, hedge ratio changes after the financial crisis in United Kingdom, the Czech Republic, South Korea and South Africa.
