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研究生:陳學平
研究生(外文):Chen,Hsuehping
論文名稱:以CBP-GARCH模型分析訊息傳達及動態跳躍效果-黃金及原油為例
論文名稱(外文):News Arrival And Jump Dynamics With CBP-GARCH- In Case Of Gold and Oil
指導教授:邱哲修邱哲修引用關係
指導教授(外文):Chiou,Jershiou
口試委員:邱建良,曾永清
口試日期:2012-06-30
學位類別:碩士
校院名稱:實踐大學
系所名稱:財務金融與保險研究所
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
論文出版年:2012
畢業學年度:100
語文別:英文
論文頁數:44
中文關鍵詞:訊息傳遞黃金
外文關鍵詞:CBP-GARCHgoldnews arrivals
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金價及油價為兩個大型商品市場的主要代表,它們不完全是由基本的供需市場對價關係所驅使。大量的實證建議認為從金融上的特色來看,原油市場與黃金市場有著緊密的相互影響。有大量的研究在有關價格的動態影響並已辨認出兩者的價格移動有著高度的相關,但在兩市場相互影響的研究仍然是稀少的。
傳統上,假設時間序列的資料是一個平滑且連續的過程,無論跳躍的效果是否存在這隱含了擴散的模型是統計學上的特定錯誤。因此,這篇文章從其他地方辨識他自己,藉由考慮油價的波動性並使用Correlated Bivariate Poisson (CBP-GARCH)模型去分析黃金市場的相互關係
CBP-GARCH模型的結果顯示在黃金價格及原油價格的跳躍規模上並沒有顯著得相關,也就是說,在黃金報酬上發生較大的跳躍並不會同時出現在油價報酬上。這個現象也被條件變異的CBP-GARCH模型反應出來。結合報酬與跳躍變異,結果顯示跳躍的變異適當得反應報酬的趨勢。黃金及油價的波動關係是隨著時間而改變,並且油價上的跳躍效果較黃金平滑,特別是在最近的期間。

Although gold and crude oil are widely recognized as the two primary elements of the large commodity markets, it is clear that the prices of these two commodities are not completely driven by the most basic market considerations of supply and demand. Indeed, a considerable body of evidence has emerged to suggest the existence of several financial features of the international gold and crude oil markets, as well as the existence of close interactions between the two markets.
Despite the considerable wealth of research which has already been undertaken into price dynamics within these two markets, resulting largely in findings of a high correlation between their price movements, very little research appears to have been undertaken into the interactions occurring between the two markets. Furthermore, within the majority of the prior studies focusing on this area, it is traditionally assumed that time-series data follow a smooth and continuous process; however the presence of jumps implies that the statistical specifications of diffusion models can be somewhat erroneous.
Accordingly, the present study distinguishes itself from many of the prior studies, insofar as the analyses undertaken in this study utilize a ‘correlated bivariate Poisson-GARCH’ (CBP-GARCH) model, with the focus being placed on the interrelationships between the gold and crude oil markets, whilst also taking into consideration volatility levels within the crude oil market. The results obtained from the CBP-GARCH model reveal no significant correlations between the size of jumps in gold and crude oil returns; in other words, with the occurrence of any substantial jumps in gold returns, there will not necessarily be any simultaneous duplication of such jumps in oil returns.
This phenomenon is also reflected in the conditional variances of the CBP-GARCH model. When the variances in returns and jumps are combined, the results reveal that the jump variance provides an appropriate reflection of the trend in returns. In summary, we find that the relationship between the volatility of gold and crude oil is clearly changing over time, since we can now determine that the jump variance in crude oil is much smoother than that for gold, particularly over the more recent periods.

Contents
摘要.... ...................................................................................................................Ⅰ
Abstract.................................................................................................................Ⅱ
Contents................................................................................................................Ⅳ
List of Figures.......................................................................................................Ⅴ
List of Tables....................................................................................................VI
Chapter 1 INTRODUCTION..........................................................................1
1.1 Motivation and Aims of this Study..........................................................1
1.2 Structure of this Study.............................................................................2
Chapter 2 SUPPLY AND DEMAND FOR GOLD........................................3
2.1 Recent Trends in the Supply and Demand for Gold................................3
2.2 Fluctuations in Nominal Gold Prices .......................................................6
2.3 The Relationship between Gold and Crude Oil Prices.............................7
Chapter 3. LITERATURE REVIEW...............................................................9
Chapter 4. METHODOLOGY........................................................................16
4.1 Stationarity and Non-stationarity.............................................................16
4.2 Unit Root Test .........................................................................................17
4.2.1 Augmented Dickey-Fuller test........................................................17
4.2.2 Phillips-Perron test..........................................................................19
4.2.3 KPSS test ........................................................................................21
4.2.4 Time lag selection criteria...............................................................22
4.3 Cointegration...........................................................................................23
4.4 Johansen Maximum Likelihood Test .......................................................24
4.5 Correlated Bivariate Poisson-Garch Model..............................................28
Chapter 5 EMPIRICAL RESULTS................................................................34
5.1 Data Source and Description...................................................................34
5.2 Unit Root Test..........................................................................................34
5.3 Johansen Cointegration Test....................................................................37
5.4 Empirical Results of the CBP-GARCH Model.......................................39
Chapter 6 CONCLUSIONS..............................................................................43
REFERENCES.......................................................................................................45
Appendix ................................................................................................................50

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