臺灣博碩士論文加值系統

波動性的預測攸關資產配置、投資組合避險、風險控管以及衍生性金融商品定價的正確性。本研究以三種不同類別的金融市場，包含股價指數、匯率及個股股價，一共六種金融商品為研究對象，進行六個波動性估計模型之預測能力之比較，包括STD、EWMA、GARCH(1,1)-N、GARCH(1,1)-G、及Ederington and Guan (2005)所提出的RLS和GEN模型。以下列幾個議題來探討何種模型的預測績效最佳：1、過去報酬衝擊權重設定的適當性。2、參數估計值與估計程序的關聯性3、採用四種評估預測績效之方法，希望藉以判斷模型預測對評估方法是否敏感，以及模型的預測績效是否具有普遍性。期望透過本研究之實證分析，期待獲得一個廣泛性預測較佳的模型，進一步提供投資決策者掌握金融資產報酬波動性的可行管道。實證結果發現：
1、 GARCH(1,1)放太多的權重在最新的觀察上，而給予較舊的觀察值之權重是不夠的。
2、 對於相同的模型用不同的參數估計程序，則會導致完全不同的參數估計值。
3、 整體而言不論在何種金融市場均以GEN模型的預測績效最好，其次為RLS模型，而GARCH(1,1)-G模型普遍優於GARCH(1,1)-N模型。

We apply Ederington and Guan (2005), to examine the forecasting ability of sixth time-series volatility models, including historical variance, EWMA, GARCH(1,1)-N, GARCH(1,1)-G, and restricted least squares (RLS) and GEN. We seek to determine why one model or group of models forecasts another focusing on three issues: 1、the proper weighting of older versus recent observations, 2、the relevance of the parameter estimation procedure, and 3、we use four criterions to measure forecast ability.　Our evidence indicates
1、The GARCH(1,1)model puts too much weight on the most recent observations and not enough on older observations.
2、Different parameter estimation procedures result in quite different parameter estimates for the same model.
3、The GEN model is the best volatility forecasting model, RLS model is the second, and GARCH(1,1)-G model is always superior to GARCH(1,1)-N model.

目 錄
中文提要................................................................................................................... i
英文提要................................................................................................................... ii
謝辭........................................................................................................................... iii
目錄........................................................................................................................... iv
圖表目錄................................................................................................................... v
第一章 緒論............................................................................................................ 1
第一節 研究動機....................................................................................................1
第二節 研究目的....................................................................................................3
第三節 研究限制....................................................................................................4
第四節 論文架構....................................................................................................5
第五節 研究流程....................................................................................................6
第二章 相關理論及文獻探討.......................................................................... 7
第一節 波動性的特性............................................................................................7
第二節 波動性估計模型的發展............................................................................8
第三節 波動性預測的文獻回顧..........................................................................16
第三章 研究方法與實證模型........................................................................ 24
第一節 資料來源與處理......................................................................................24
第二節 常態性檢定..............................................................................................27
第三節 序列相關檢定..........................................................................................28
第四節 實證模型..................................................................................................29
第五節 預測績效的評估標準..............................................................................35
第四章 實證分析................................................................................................ 37
第一節 實證步驟..................................................................................................37
第二節 資料分析..................................................................................................38
第三節 模型參數之估計......................................................................................41
第四節 模型預測能力之比較..............................................................................46
第五章 結論......................................................................................................... 55
參考文獻................................................................................................................. 57
圖 表 目 錄
圖1-1 研究流程....................................................................................................... 6
表3-1 實證模型與資料描述..................................................................................25
圖4-1 每日收盤價之時間序列走勢圖................................................................. 38
圖4-2 日報酬之走勢圖......................................................................................... 39
表4-1 每日收盤價之基本統計檢定量..................................................................40
表4-2 日報酬之基本統計檢定量..........................................................................40
表4-3 GARCH(1,1)-N模型之參數估計值............................................................41
表4-4 GARCH(1,1)-G模型之參數估計值............................................................42
表4-5 GARCH(1,1)模型之標準化殘差序列相關檢定........................................42
表4-6 RLS模型之參數估計值..............................................................................43
圖4-3 東京日經指數之GARCH-G、RLS和GEN模型隱含參數..................... 44
表4-7 GEN模型之參數估計值.............................................................................45
表4-8 MAE績效評估結果...................................................................................48
表4-9 RMSE績效評估結果.................................................................................50
表4-10 HMAE績效評估結果.................................................................................52
表4-11 HRMSE績效評估結果...............................................................................54

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