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研究生:林子強
研究生(外文):Tzu-Chiang Lin
論文名稱:以GARCH模型建構外匯波動率模式:以G7貨幣為例
論文名稱(外文):Using GARCH Models to for modeling Exchange Rate Volatility:Empirical Evidence from G7 Currencies
指導教授:郭震坤郭震坤引用關係
口試委員:李志偉李顯峰
口試日期:2015-05-11
學位類別:碩士
校院名稱:國立臺灣大學
系所名稱:國際企業學研究所
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
論文出版年:2015
畢業學年度:103
語文別:中文
論文頁數:42
中文關鍵詞:外匯波動率GARCHE-GARCH
外文關鍵詞:exchange rate volatilityGARCHE-GARCH
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  • 被引用被引用:0
  • 點閱點閱:123
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  • 收藏至我的研究室書目清單書目收藏:0
本研究以GARCH模型以及E-GARCH模型建構G7貨幣之日報酬波動率模式,以台灣的直接報價匯率數據進行分析,並和Abdalla , Suliman Zakaria Suliman (2012)所研究的19種阿拉伯國家貨幣比較,實證結果顯示本研究探討的7種貨幣日報酬率的波動率皆有持續性,而Abdalla , Suliman Zakaria Suliman (2012)所研究的19種貨幣中的7種貨幣日報酬率的波動率具有持續性,顯示出已開發國家和開發中國家在貨幣日報酬率的顯著差異。

目錄

第一章 緒論及模型介紹 1
1.1、 研究動機與目的 1
1.2、 研究架構 2
第二章、文獻探討 3
2.1、介紹 3
2.1.1、波動率 3
2.1.2、波動率的特性 5
2.1.3、時間序列 7
2.2、論文回顧 11
2.2.1、文獻研究目的 11
2.2.2、文獻資料來源和模型建構 11
2.2.3、文獻研究成果 16
第三章 研究方法與模型分析 18
3.1、研究方法 18
3.2、資料及模型建構 18
3.3、G7貨幣報酬率統計量 20
3.4、GARCH模型檢定結果 24
3.5、E-GARCH模型檢定結果 27
第四章、結論 31
附錄 33
參考文獻 40



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[14]Abdalla , Suliman Zakaria Suliman , (2012). Modeling Exchange Rate Volatility using GARCH Models:Empirical Evidence from Arab Countries. International Journal of Economics and Finance, Vol. 4, No. 3 ; March 2012.
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[17]Brooks, C; Burke, S. (1998). “Forecasting exchange rate volatility using conditional variance models selected by information criteria” Economics Letters 61, 273-278.
[18]Black, F. (1976), “Studies of Stock Price Volatility Changes”, Proceedings of the Business and Economics Section of the American Statistical Association , 177–181.
[19]Nelson, D.B. (1991), ”Conditional heteroskedasticity in asset returns: a new approach”, Econometrica 59, 347-370.
[20]Engle, R; Patton, A. (2001), ”What good is a volatility model?”, Research paper, Quantitative Finance, Volume 1, 237-245.


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