臺灣博碩士論文加值系統

本研究以時間序列之計量模型為主要的預測方法，採用GARCH(Generalized Autoregressive Conditional Heteroskedasticity)模型、馬可夫轉換模型(Markov Switching Model)及常數跳躍模型(Constant Intensity Jump Model)等，對台灣短期利率的預測作比較，希望找到一個較合理且預測績效較佳的利率預測模型。
實證分析所得之結果顯示，利用三種計算誤差值（MAD、RMSE及MAPE）之統計量來作衡量，得到常數波動模型模型預測績效較佳。故台灣短期利率依歷史資料實證，在以GARCH模型捕捉條件變異數基礎下，加入考量結構性轉變及跳躍的因子後，最能描述並預測變化的情形。

This research is majority adopted time series econometric model as a forecasting approach. We try to find a reasonable and efficient model for predicting Taiwan’s short-term interest rate. Through the research process, we compare with GARCH, Markov Switching and Constant Intensity Jump Model to identify the best performance econometric model.
The result indicates that Constant Intensity Jump Model would be the best by the three kind of measurement tool (MAD, RMSE and MAPE). Conclusion, base on basic GARCH Model, and considering the factor of structure change and jump, Constant Intensity Jump Model is the best econometric model to forecast the Taiwan’s short-term interest rate.

目 錄
第一章 緒論 5
第一節 研究動機與目的 5
第二節 研究方法與範圍 6
第三節 本文組織架構 8
第二章 利率理論與預測方法之文獻探討 9
第一節 利率決定理論 9
第二節 預測方法之國外文獻回顧 13
第三節 預測方法之國內文獻回顧 16
第四節 相關文獻評論 24
第三章 實證模型文獻探討 25
第一節 GARCH 模型與相關文獻探討 25
第二節 馬可夫轉換模型與文獻探討 29
第三節 常數跳躍模型與相關文獻探討 31
第四章 研究方法 34
第一節 資料來源 34
第二節 單根檢定 34
第三節 GARCH模型 37
第四節 馬可夫轉換模型 39
第五節 常數跳躍模型 44
第六節 評量預測模型能力方法說明 47
第五章 實證結果分析 49
第一節 基本統計量分析 49
第二節 單根檢定 52
第三節 各模型實證估計結果分析 54
第四節 各模型預測績效比較 56
第六章 結論 59
一、中文參考文獻 61
二、英文參考文獻 63

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