臺灣博碩士論文加值系統

在現今經濟體系中，利率的影響力廣泛而且深遠，因而，找出一個良好的利率預測模式便成了一項重要工作，但是要確切地掌握利率走向並非易事。在本國推行利率自由化之後，利率的走勢更加自由且不可預測，預測利率未來的走勢更趨困難。
有鑑於此，本研究擬採取GARCH、EGARCH、GJR-GARCH、SV( Stochastic Volatility )模型以30天期融資型商業本票次級市場利率進行研究，並考慮分配假設的不同對模型的配適程度的影響，企圖對台灣利率市場進行一個較為全面的探討，並希望能透過本研究能找出一個較為合理且預測績效較佳的利率預測模型。
茲將實證分析結果歸納如下：在模型的預測能力上，在常態分配假設下使用GARCH模型有著顯著的優勢，而在t分配假設下，建議使用EGARCH模型作為最佳的預測模型；於分配假設的問題上，t分配的模型設定與常態分配的假設對預測結果並沒有明顯支配關係存在需視使用模型而定；SV模型理論上較GARCH Family來的優越，於本研究的結果卻明顯不如GARCH Family；於本文研究期間中，經CHOW-TEST檢定後有明顯的結構改變問題，而在本文中，結構改變的問題會使得預測誤差顯著的變大,不可不慎。

Since interest rates have a widespread and profound impact on our society, any further understanding of its patterns or reliable forecasts will be valuable to us. However, due to its volatility, to forecast interest rate is not an easy task. And this difficulty has become obvious in the past two decades, especially after the deregulation of interest rates.
The aim of this study, therefore, is to investigate the performance of alternative financial time series models in interest rate predictions. The models employed in this paper include GARCH , EGARCH , GJR-GARCH and Stochastic Volatility, each with assumption of error term either normal distribution or t distribution. We then proceed our empirical analysis based on the historical data of commercial paper interest rates in Taiwan.
Conclusions of this study are stated as follows. First, it seems that the assumption of error term does not matter much in interest rate prediction since neither one is significantly dominant. Second, it shows that GARCH is the best model under normal distribution assumption, and EGARCH is best one under t distribution assumption. Third, the performance of SV model is less satisfactory than GARCH family models. Finally, it also indicates that the performance of interest rate predictions is enhanced without structural change problem, whenever it presents.

目次
中文摘要 i
英文摘要 ii
誌謝 iii
目次 iv表目錄 v圖目錄 vi

第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究大綱與研究流程 3
第二章 文獻探討 5
第一節 利率相關理論 5
第二節 文獻回顧 9
第三章 研究方法 19
第一節 單根檢定 19
第二節 ARIMA 26
第三節 波動度模型 29
第四節 預測方式及預測績效評估 43
第四章 實證分析與結果 48
第一節 資料來源 48
第二節 實證研究流程 49
第五章 結論與建議 75
第一節 結論 75
第二節 後續研究之建議 77
參考文獻 78
附錄 82

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