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研究生:莊景文
研究生(外文):Ching-wen Chuang
論文名稱:外匯期貨價格預測之探討
論文名稱(外文):On Forecasting the Price of the Futures of Foreign Exchange.
指導教授:楊德源楊德源引用關係
指導教授(外文):Der-yuan Yang
學位類別:碩士
校院名稱:國立高雄第一科技大學
系所名稱:金融營運所
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
畢業學年度:97
語文別:中文
論文頁數:75
中文關鍵詞:均方誤差GARCH模型ARIMA模型外匯期貨絕對平均百分比誤差。
外文關鍵詞:RMSEGARCHARIMAExchange FutureMAPE.
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本文以ARIMA模型與GARCH模型以及移動迴歸法,研究五種外匯期貨,並以絕對平均誤差、均方誤差 、絕對平均百分比誤差做為預測績效之衡量標準。結果顯示:五種外匯期貨之預測績效並無顯著差異。預測得到的每日報酬率還原成每日期貨價格,即為預期之每日外匯期貨價格。此一預測值,可運用到財務投資管理、公司決策,以及投資參考依據。
This paper explores the exchange Future of five currencies with ARIMA, GARCH models, and rolling regression method . The MSE, RMSE and MAPE are used to measure the performance of forecasting. The result shows that the forecasting performance of the exchange future of five currencies are not significantly different. The forecasted daily returns are turned the daily price of exchange future into be the predicted price of exchange future, which could be used as the guideline for the managing of financial portfolio and corporations'' decision-making.
中文摘要 I
英文摘要 II
誌謝 III
目錄 IV
表目錄 VI
圖目錄 VII
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 研究架構 4
第二章 文獻回顧 6
第一節 外幣期貨介紹 6
第二節 匯率決定理論 9
第三節 實證模型之文獻探討 13
第三章 研究方法 19
第一節 移動回歸法 19
第二節 單根檢定 20
第三節 單變量時間序列模型 23
第四章 實證結果與分析 32
第一節 資料來源與處理 32
第二節 實證資料檢定 43
第三節 ARIMA模型之參數估計 45
第四節 GARCH模型之參數估計 51
第五節 不同模型之預測能力比較 53
第六節 五種外匯期貨價格預測 57
第五章 結論與建議 68
第一節 研究結論 68
第二節 後續建議 70
參考文獻 71
中文部分
1. 王佳妮、李文浩(2005),GARCH模型能否提供好的波動率預測,數量經濟技術經濟研究,22卷6期,頁74-87。
2. 王銘培(1997),東南亞金融風暴新台幣兌美元匯率變動之探討,東海大學管理研究所碩士論文。
3. 李命志、洪瑞成、劉洪鈞(2006),厚尾GARCH模型之波動性預測能力比輔仁管理評論,14卷2期,頁47-71。
4. 李英德、王波、李軍(2006),英鎊兌美元匯率分析與預測,成都信息工程學院學報,21卷6期,頁914-919。
5. 呂紹亨(1995),日本、韓國、台灣與新加坡匯率波動預測之預測模型比較及相關檢定,中正大學財務金融研究所碩士論文。
6. 吳佳貞(1998),波動度預測模型之探討,政治大學金融研究所碩士論文
7. 曹添旺、賴景昌、鍾俊文、郭炳伸、蔡文禎(2000),新台幣實質有效匯率指數之動態分析,台灣經濟預測與政策,32卷2期,頁93-130。
8. 張豪(1996),時間序列分析方法在中日匯率預測上之應用,成功大學企業研究所碩士論文。
9. 張嘉烈(1990),匯率水準決定之實證研究,成功大學工業管理研究所碩
論文。
10. 陳心一(1997),短期匯率預測 : ARIMA與GARCH模型之研究比較,中山大學財管研究所碩士論文。
11. 魏端余、滑明曙(2004),新台幣/美元外匯市場技術分析獲利性之研究,
中國財務學會1999年暨財務金融學術研討會論文集。
12. 譚清、戴中華(2006),時間序列分析在風險狀態參數預測中的研究與應用,風險技術期刊,2006年6期,頁312-347。
13. 彭冬初(2004),外匯投資一本通,機械工業出版社。



英文部分
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27. Fang, H. and K. Kwong (1991), Forecast Performance of Exchange Rate Models Revisited, Applied Economics, Vol. 23, Issue. 1, pp. 187-196.

28. Goshen, G. J. (1861), The Theory of The Foreign Exchanges, London: Effing Wilson, Royal Exchange.
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32. Colm, Kearney and Andrew J. Patton (2000), Multivariate GARCH Modeling of Exchange Rate Volatility Transmission in the European Monetary System,
The Financial Review, Vol. 35, Issue 1, pp. 29-48
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37. Martens, M. (2001), Forecasting daily exchange rate volatility using intraday returns, Journal of International Money and Finance, Vol. 20, No. 1, pp. 1-23.
38. Makridakis, S. (1993), Accuracy Measure: Theoretical and Practical Concerns, Journal of International Journal of Forecasting, Vol. 9, Issue 4,
pp. 527-529.
39. Pong, S., M. B. Shackleton, S. J. Taylor and X. Xu ( 2003), Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models, forthcoming, Journal of Banking and Finance, Vol. 28, Issue 10, pp.2541-2563.
40. Said, S. and D. Dickey (1984), Testing for Unit Roots in Autoregressive-Moving Average Models with Unknown Order, Biometrica, Vol 71, No. 3, pp. 599-607.
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pp. 367-391.
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