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研究生:呂維真
研究生(外文):Wei-Chen Lu
論文名稱:資產報酬波動持續性之研究
論文名稱(外文):A Study on the Volatility Persistence of Asset Returns
指導教授:欉清全欉清全引用關係
指導教授(外文):Ching-Chuan Tsong
學位類別:碩士
校院名稱:國立暨南國際大學
系所名稱:經濟學系
學門:社會及行為科學學門
學類:經濟學類
論文種類:學術論文
論文出版年:2005
畢業學年度:93
語文別:中文
論文頁數:49
中文關鍵詞:資產報酬隨機性波動模型型一誤差檢力波動性持續性單根檢定
外文關鍵詞:Asset ReturnStochastic Volatility ModelSizePowerVolatilityPersistenceUnit Root Test
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中文摘要
由於資產報酬隨時間變化且具有高度持續性的特徵,因此,本文的目的在於利用隨機性波動模型,將資料進行轉換,再將命題轉為檢定該轉換後資料是否為一非恆定的序列。然而這樣的命題存有低檢力和型一誤差扭曲的問題,於是,利用模擬方式,找出穩健的檢定統計量。最後,利用實際的資料,考慮十二個國家之股票市場每日的收盤價之時間序列,搭配具有穩健型一誤差和高檢力的單根檢定量進行檢定。實證結果發現,考慮修正後的檢定統計量確實可以產生較具信賴程度的檢定結果,以那斯達克綜合股價指數和紐約史坦普爾500指數為例,其波動呈現出非恆定狀態,而新加坡海峽指數和泰國SET股價指數情況相反,其波動為一恆定序列。
Abstract
The volatility of asset returns is time varying and highly persistent. Accordingly, the purpose of this paper is to use stochastic volatility model and to test for non-stationary of the volatility process by testing a unit root in the log-squared time series. However, this may suffer from two problems - low power and severe size distortions. Owing to the consequences, we take a class of modified tests into consideration and use Monte-Carlo experiments in order to find some robust tests which have favorable size and power gains. Finally, in applying these tests to stock returns, the empirical results find that these tests about Nasdaq Composite Index and New York - S&P 500 Index do not reject the hypothesis of non-stationary stochastic volatility process. On the other hand, to take Singapore – Straitrs Index and Bangkok – Set Index for example, strong rejections of non-stationarity in volatility are obtained.
目 錄

第一章  緒論     ………………………………………………………………1
第一節 研究動機與目的     ………………………………………………1
第二節 研究架構 ………………………………………………………………2
第二章  文獻回顧     …………………………………………………………4
第一節  隨機性波動模型之相關文獻     …………………………………4
第二節  單根檢定之相關文獻     …………………………………………5
第三節 資產報酬之相關文獻    ……………………………………………7
第三章 研究方法     ……………………………………………………………9
第一節 模型的建立     ……………………………………………………9
第二節 相關檢定量     ..…………………………………………………10
第四章  蒙地卡羅實驗結果     ………………………………………………18
第一節 型一誤差的模擬     .…………………………………………… 19
第二節 型一誤差調整後檢力的模擬     .……………………………….22
第五章 實證結果     ...………………………………………………………….26
第一節 資料說明     .…………………………………………………….26
第二節 實證結果分析     ………………………………………………..27
第六章  結論     ………………………………………………………………29
參考文獻     ……………………………………………………………………..30


圖 目 錄

圖一 股票價格指數之波動圖形     ………………………………………47


表 目 錄

表一 MAIC單根檢定之型一誤差模擬結果,以MA為例  ……………………..34
表二 BIC單根檢定之型一誤差模擬結果,以MA為例  ……………….…….35
表三 AIC單根檢定之型一誤差模擬結果,以MA為例  ……………………. 36
表四 MAIC單根檢定之型一誤差模擬結果,以AR為例  ……………………37
表五 BIC單根檢定之型一誤差模擬結果,以AR為例  ………………………38
表六 AIC單根檢定之型一誤差模擬結果,以AR為例  ………………………39
表七 MAIC單根檢定之型一誤差調整後檢力模擬結果,以MA為例  ………40
表八 BIC單根檢定之型一誤差調整後檢力模擬結果,以MA為例  ………..41
表九 AIC單根檢定之型一誤差調整後檢力模擬結果,以MA為例   ………..42
表十 MAIC單根檢定之型一誤差調整後檢力模擬結果,以AR為例  …….…43
表十一 BIC單根檢定之型一誤差調整後檢力模擬結果,以AR為例  ……...44
表十二 AIC單根檢定之型一誤差調整後檢力模擬結果,以AR為例  ……...45
表十三 股票價格指數之敘述統計量  ……………………………….………….46
表十四 股票價格指數之實證結果  ……………………………….…………….49
參考文獻

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