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研究生:黃雅君
研究生(外文):Ya-Chun Huang
論文名稱:門檻式迴歸在台灣加權股價指數上的應用:非線性時間序列分析及樣本外預測之比較
論文名稱(外文):A SETAR Model for Taiwan Stock Exchange Capitalization Weighted Stock Index: Non-linearities and Forecasting Comparisons
指導教授:許光華許光華引用關係李見發李見發引用關係
指導教授(外文):Kuang-Hua HsuJain-Fa Li
學位類別:碩士
校院名稱:朝陽科技大學
系所名稱:財務金融系碩士班
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
論文出版年:2010
畢業學年度:98
語文別:英文
論文頁數:44
中文關鍵詞:門檻自我迴歸模型台灣加權股價指數門檻式迴歸預測
外文關鍵詞:SETAR ModelThreshold ModelTaiwan Stock Exchange Capitalization Weighted StForecasting
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In this paper, we analyze the change in structure which occurred in Taiwan stock index, while finding a better non-linear model. We examine the out-of sample performance of non-linear time series SETAR model by employing Taiwan Stock Exchange Capitalization Weighted Stock Index over the period from January 3, 2005 to December 31, 2009. Furthermore, we do the unit root test before the model setting and then compare the out-of-sample forecasting performances between standard linear ARIMA model and non-linear SETAR model. Empirically, we find that non-linear SETAR model has superior forecasting power than linear ARIMA model does in Taiwan stock market.
In this paper, we analyze the change in structure which occurred in Taiwan stock index, while finding a better non-linear model. We examine the out-of sample performance of non-linear time series SETAR model by employing Taiwan Stock Exchange Capitalization Weighted Stock Index over the period from January 3, 2005 to December 31, 2009. Furthermore, we do the unit root test before the model setting and then compare the out-of-sample forecasting performances between standard linear ARIMA model and non-linear SETAR model. Empirically, we find that non-linear SETAR model has superior forecasting power than linear ARIMA model does in Taiwan stock market.
Abstract i
Table of Contents ii
List of Tables iii
List of Figures iv
1. Introduction 1
1.1 Background and Motivation 1
1.2 Purpose 1
1.3 Thesis Structure 2
2. Literature Review 4
3. Empirical Models 7
3.1 Unit Root Test 11
3.2 Chow Breakpoint Test 17
3.3 SETAR Model 18
3.4 Out-of-sample Forecasting Performance 20
4 Empirical Results 21
4.1 Sample Description 21
4.3 Results of ARIMA Model Selection 24
4.4 Results of Chow Breakpoint Test 25
4.5 Results of SETAR Model 27
5. Conclusions 34
References 36
List of Tables
Table 1 Sample Description ................................................................................ 22
Table 2 Results of Unit Root Test ....................................................................... 23
Table 3 Results of Model Selection of ARIMA .................................................. 24
Table 4 Results of Model Selection of SETAR ................................................... 27
Table 5 Comparison of Forecasting Power ......................................................... 28
Table 6 Forecasted Values and Original Data - November, 2009 ....................... 30
Table 7 Forecasted Values and Original Data - December, 2009........................ 31
List of Figures
Figure 1 Steps of the Box-Jenkins Approach ...................................................... 11
Figure 2 Trend of Taiwan Stock Exchange Capitalization Weighted Stock Index ......... 21
Figure 3 Sample Description ............................................................................... 22
Figure 4 Breakpoint by Using Chow Test ........................................................... 25
Figure 5 Breakpoint in Taiwan Stock Exchange Capitalization Weighted Stock Index . 26
Figure 6 Original Series and Predicted Value from the SETAR and ARIMA
Model using Forecasting Method (2009) ............................................ 32
Figure 7 Forecasting Interval of the ARIMA Model and the Forecasted Value
from Both Models (2009) ...................................................................... 33
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