臺灣博碩士論文加值系統

自從 Engle (1982, Econometrica) 提出了自我迴歸條件異質變異數 (Autoregressive
Conditional Heteroskedasticity ,簡稱 ARCH) 模型與 Bollerslev (1986, Journal of Econometrics) 擴充該模型而提出 GARCH 模型後,此類參數化的條件異質變異數模型,已成它a捕捉到金融資產上變異數並非固定與波動性聚集的現象。然而過去對於波動性的研究,都欠缺考量到財務金融資料所呈現的偏態特性,且對於型態參數皆設定為固定的。針對這些問題,Hansen (1994, International Economic Review) 利用具有偏態特性的 skew Student's t 分配來修正過去架構於對稱分配的 GARCH 模型。除了允陸噥A特性隨時間而變,該模型亦允釩牯A參數隨時間變動。因此,本文的目的即是利用該模型針對台灣、香港、美國股市進行實證分析。實證結果顯示,這些股價指數之報酬皆具有偏態與超額峰態的特性。日資料之實證結果亦顯示這些特性皆隨時間而變。相較於日資料之結果,週資料之實證結果顯示: 股價指數之報酬雖具有偏態與超額峰態,但其並不隨時間而變。

1 緒論 1
1.1 研究動機與目的. . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 論文架構. . . . . . . . . . . . . . . . . . . . . . . . . . . . 4
2 文獻回顧 5
2.1 股價指數的介紹. . . . . . . . . . . . . . . . . . . . . . . . . 5
2.2 條件變異數的文獻探討. . . . . . . . . . . . . . . . . . . . . . 6
2.3 非常態分配的文獻探討. . . . . . . . . . . . . . . . . . . . . . 7
3 基礎理論模型 12
3.1 條件變異數模型. . . . . . . . . . . . . . . . . . . . . . . . . 12
3.1.1 ARCH模型. . . . . . . . . . . . . . . . . . . . . . . 12
3.1.2 GARCH模型. . . . . . . . . . . . . . . . . . . . . . 13
3.2 Skewed student t 分配的介紹 . . . . . . . . . . . . . . . . . . 14
3.3 模型相關檢定. . . . . . . . . . . . . . . . . . . . . . . . . . 17
3.3.1 常態性檢定. . . . . . . . . . . . . . . . . . . . . . . 17
3.3.2 單根檢定. . . . . . . . . . . . . . . . . . . . . . . . 17
3.3.3 異質性檢定. . . . . . . . . . . . . . . . . . . . . . . 19
3.3.4 序列自我相關檢定. . . . . . . . . . . . . . . . . . . . 20
4 模型分析21
4.1 資料來源. . . . . . . . . . . . . . . . . . . . . . . . . . . . 21
4.2 資料初步分析與檢定. . . . . . . . . . . . . . . . . . . . . . . 21
4.3 結果分析. . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
4.3.1 週資料結果. . . . . . . . . . . . . . . . . . . . . . . 22
4.3.2 日資料結果. . . . . . . . . . . . . . . . . . . . . . . 24
5 結論與建議 28
參考文獻 30

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