臺灣博碩士論文加值系統

GARCH模型係探討時間序列資料平滑連續的變動，本文採用Chan（2003）組合「卜松相關函數」提出的CBP-GARCH模型，加入考量波動與跳躍強度外溢效果，探討自1993年1月5日至2005年9月2日止新台幣與日圓匯率報酬率不連續跳躍且相關跳躍強度隨時間變動之共移性，依據模型實證結果找出相關跳躍強度較大之事件，就事件期間及前後相關係數與共變異數進行分析。
本研究發現新台幣與日圓匯率報酬率皆存在不連續跳躍現象，日圓較新台幣匯率報酬率跳躍波動性大，但新台幣較日圓匯率報酬率跳躍強度大，又新台幣匯率報酬率跳躍強度較日圓匯率報酬率跳躍強度受前期報酬率影響程度大，但兩國匯率報酬率相關跳躍強度不受前期新台幣或日圓匯率報酬率的影響。波動與跳躍強度外溢效果部份，新台幣匯率報酬率受到日圓匯率報酬率波動外溢效果影響；但日圓匯率報酬率跳躍強度受到新台幣匯率報酬率跳躍強度外溢效果影響，可能係受到我國中央銀行外匯管理政策干擾所致。
新台幣與日圓匯率報酬率相關跳躍強度呈現高度相關且隨時間變動之共移性，而日圓匯率報酬率跳躍強度與兩國匯率報酬率相關跳躍強度幾近完全相關，新台幣匯率報酬率跳躍強度與兩國匯率報酬率相關跳躍強度則三分之一相關。依據CBP-GARCH模型找出十三個相關跳躍強度共移事件分析事件期間之相關係數與共變異數，發現其中十二個事件期間相關係數與共變異數明顯較每一事件前後期間大，顯示某些訊息衝擊之下，新台幣與日圓匯率報酬率產生較明顯的相關波動現象，大致相關跳躍強度隨時間變動之共移現象時點一致。

This paper adopts the CBP-GARCH model of Chan (2003) that combines the “Poisson correlation function,” and incorporates the volatility and jump intensity spillover effects, in order to examine the discontinuous jump and the time-varying correlated jump intensity comovements for the rates of return of the New Taiwan dollar and Japanese Yen exchange rates over the period extending from January 5, 1993 to September 2, 2005. From the empirical results, it is discovered that the correlated jump intensity of the New Taiwan dollar and Japanese Yen exchange rate rates of return exhibit both a high degree of correlation and comovement that is time-varying. Moreover, the jump intensity of the Japanese Yen exchange rate return is almost from the correlated jump intensity for the two countries’ exchange rate return. However, the jump intensity of the New Taiwan dollar exchange rate return is only the same as the correlated jump intensity for the two countries’ exchange rate rates of return in about one-third of the cases. As for the volatility and jump intensity spillover effects, the New Taiwan dollar exchange rate return is influenced by the Japanese Yen exchange rate return volatility spillover effect. However, the Japanese Yen exchange rate return jump intensity is affected by the New Taiwan dollar exchange rate return jump intensity spillover effect. Based on the results of the model, various events for which the correlated jump intensities are relatively high are sought out, and from further analysis it is discovered that the correlation coefficients and covariance at the time the events take place are all significantly higher than either before or after the respective events, as is the case with the correlated jump intensity time-varying comovements.

目 錄
第一章　緒論……………………………………………………………………..…1
第一節　研究動機………………………………………………………………..1
第二節　研究目的……………………………………………………………..…4
第三節　研究架構………………………………………………………………..5

第二章　文獻回顧………………………………………………………………..…7
第一節　國外文獻回顧…………………………………………………………..7
第二節　國內文獻回顧…………………………………………………………..9

第三章　研究方法…………………………………………………………………15
第一節　單根檢定………………………………………………………………15
第二節　CBP-GARCH模型……………………………………………………18

第四章　實證結果分析……………………………………………………………21
第一節　資料來源與處理………………………………………………………21
第二節　基本統計量……………………………………………………………22
第三節　單根檢定………………………………………………………………24
第四節　CBP-GARCH模型實證結果分析……………………………………26
第五節　相關跳躍強度共移事件分析…………………………………………30

第五章　結論與建議………………………………………………………………36

參考文獻……………………………………………………………………………38


圖表目錄
圖目錄
【圖1.1】研究流程圖..…………………………………………………………..6
【圖4.1】樣本期間新台幣與日圓收盤價格與日報酬率趨勢..………………23
【圖4.2】新台幣匯率報酬率跳躍強度 ……….……………………………29
【圖4.3】日圓匯率報酬率跳躍強度 ……….………………………………29
【圖4.4】新台幣與日圓匯率報酬率相關跳躍強度 .………………………29

表目錄
【表2.1】國內外相關研究文獻彙總…………………………………………..12
【表4.1】新台幣與日圓匯率日報酬率基本敘述統計………………………..23
【表4.2】ADF單根檢定法（水準項）……………………………………….25
【表4.3】PP單根檢定法（水準項）…………………………………………25
【表4.4】ADF單根檢定法（差分項）……………………………………….25
【表4.5】PP單根檢定法（差分項）…………………………………………25
【表4.6】CBP-GARCH模型實證估計結果……….……………………….…28
【表4.7】新台幣與日圓相關跳躍強度共移事件匯率報酬率相關係數與共變異數……………………………………………………………………35

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