2009 - 2018年短期扼杀策略下卢比和美元的Black-Scholes和Garch模型比较分析

Q4 Social Sciences
Riza Hadiana, Riko Hendrawan
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引用次数: 0

摘要

外汇交易仍然是世界上最具流动性的贸易(《结算》,2019年)。本文考察了2009年至2018年美元对印尼盾的汇率波动率最高,平均波动率为1.98%,最低波动率为1.98%。它表明经济行为者存在不确定性或风险。根据经济学家的说法,保护资产价值的方法是使用可用的衍生产品,即期权。第一个用于预测和确定期权价值的模型是Black-Scholes模型,它使用历史波动率和一些GARCH模型来确定波动率。在本研究中,美元与印尼盾汇率的对象是使用平均均方误差对两个模型进行比较,看看得到的误差结果有多小。两种模型的比较结果发现,在一个月内,Black Scholes模型对看涨和看跌价值的误差较小,使用短期扼杀策略的利润百分比为83.75%。相比之下,在2个月内,GARCH模型对看涨和看跌价值的表现更好,利润率为71.62%。最后,布莱克-斯科尔斯模型在看涨和看跌供应方面有了更好的表现,3个月内的利润比例为72.04%。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Comparative Analysis of Black-Scholes and Garch Model in Rupiah and American Dollar with Short Strangle Strategy from 2009 to 2018
Foreign exchange transaction remains the most liquid trade in the world (Settlements, 2019). This paper examined the exchange rate of the US Dollar against Indonesian Rupiah at which volatility recorded the highest average of 1.98% and the lowest of 1.98% between 2009 and 2018. It shows that the existence of uncertainty or risk for economic actors. According to economists, the thing to protect the value of assets is by using available derivative products, The Option. The first model used for forecasting and determining the Option values is the Black-Scholes Model that uses historical volatility and some GARCH model to determine volatility. In this study, the object of the exchange rate of the US Dollar with Rupiah was comparing to two models using the average mean square error, and see how small the error results obtained. The results of the comparison of those two models found that during a month, the Black Scholes model had smaller errors for call and put values with a percentage of profits using a short strangle strategy was 83.75%. In contrast, over 2 months, the GARCH model showed better for call and put values with a profit percentage was 71.62%. Finally, the Black-Scholes model got a way better for call and put supplies with a percentage of the profit of 72.04% within 3 months.
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来源期刊
Journal of Social Research and Policy
Journal of Social Research and Policy Social Sciences-Sociology and Political Science
CiteScore
0.30
自引率
0.00%
发文量
0
审稿时长
8 weeks
期刊介绍: Welfare states have made well-being one of the main focuses of public policies. Social policies entail, however, complicated, and sometimes almost insurmountable, issues of prioritization, measurement, problem evaluation or strategic and technical decision making concerning aim-setting or finding the most adequate means to ends. Given the pressures to effectiveness it is no wonder that the last several decades have witnessed the imposition of research-based social policies as standard as well as the development of policy-oriented research methodologies. Legitimate social policies are, in this context, more and more dependent on the accurate use of diagnostic methods, of sophisticated program evaluation approaches, of benchmarking and so on. Inspired by this acute interest, our journal aims to host primarily articles based on policy research and methodological approaches of policy topics. Our journal is open to sociologically informed contributions from anthropologists, psychologists, statisticians, economists, historians and political scientists. General theoretical papers are also welcomed if do not deviate from the interests stated above. The editors also welcome reviews of books that are relevant to the topics covered in the journal.
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