本文研究股票市場的報酬率和波動受到跳躍的干擾，比較其在不同擇時策略下之經濟價值。我們知道跳躍的發生是受到突發事件的干擾，所以跳躍是不可預測而且罕見的。跳躍會影響波動的穩定性，如果可以捕捉受到跳躍干擾的波動和報酬率並修正之，以致未來對波動與報酬率有更準確的預測，那隨時可以更精確地調整各項資產的權重，做更好的投資決策。本文樣本使用台灣六大類股的投資組合和台灣前50股中的6個股為投資組合，利用樣本內的波動預測樣本外的波動，比較各其投資組合之樣本外的資產配置策略之經濟價值，其策略分別為動態波動擇時策略與動態波動跳躍擇時策略並分析此兩種動態策略之經濟價值之比較。

This paper considers the return rate and volatility are intervened by jumps and then compares the economic value under revised return rate and volatility to not revised ones. We know that the occurances of jumps are affected by sudden events; thus, jumps are unpredictable and scarce and will affect the stability of volatility. We can adjust the weight of each asset precisely so that to make better invest decisions anytime. The study used two portfolios consisting of Taiwan’s six sectors and six stocks of Taiwan’s top 50 stocks respectively and compared the economic value of two dynamic asset allocation strategies under the two portfolios of out sample. The strategies are dynamic volatility timing strategy and dynamic jump volatility timing strategy.

第一章  緒論	1
 第一節  研究動機與背景	1
 第二節  研究目的	3
 第三節  研究架構	6
第二章  理論基礎與文獻回顧	7
 第一節  波動度性質探討	7
 第二節  跳躍探討	8
 第三節  預測波動模型	9
 第四節	波動擇時策略之經濟價值	12
第三章  研究方法	14
 第一節	GARJI模型	14
 第二節	平均數-變異數模型架構	17
 第三節	DCC-GARCH 模型	18
 第四節	績效測度	21
   一、夏普比率測度	21
   二、效用績效服務費測度	21
第四章	實證分析	23
 第一節	資料與敘述統計	23
 第二節　跳躍偵測與參數估計	25
 第三節　最適權重配置	32
 第四節	擇時策略之經濟價值比較	45
第五章　結論	60
參考文獻..	62
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 二、國內文獻	69

表目次
表 一：類股與個股的各檔股票週報酬率之敘述統計.......................................... 25
表 二：GARJI 模型的週報酬率參數估計值......................................................... 29
表 三：類股投資組合之極大化報酬率在動態策略下的比較.............................. 47
表 四：個股投資組合之極大化報酬率在動態策略下的比較.............................. 50
表 五：類股投資組合之極小化波動率在動態策略下的比較.............................. 51
表 六：個股投資組合之極小化波動率在動態策略下的比較.............................. 52
表 七：類股投資組合之極大化報酬率的年份動態策略比較.............................. 56
表 八：類股投資組合之極小化波動率的年份動態策略比較.............................. 57
表 九：個股投資組合之極大化報酬率的年份動態策略比較.............................. 58
表 十：個股投資組合之極小化波動率的年份動態策略比較.............................. 59

圖目次
圖 一:營建類股之跳躍頻率、異質波動率之跳躍發生對應圖............................. 30
圖 二:塑化類股之跳躍頻率、異質波動率之跳躍發生對應圖............................. 30
圖 三：亞泥之跳躍頻率、異質波動率之跳躍發生對應圖.................................. 31
圖 四：裕隆之跳躍頻率、異質波動率之跳躍發生對應圖.................................. 31
圖 五：年份總跳躍次數直方圖............................................................................ 32
圖 六: 極大化利潤之下類股投資組合權重配置圖 (目標波動率=0.5%) ............. 35
圖 七: 極大化利潤之下類股投資組合權重配置圖 (目標波動率=1.5%) ............. 36
圖 八: 極小化風險之下類股投資組合權重配置圖 (目標報酬率=0.05%) ........... 37
圖 九: 極小化風險之下類股投資組合權重配置圖 (目標報酬率=0.15%) ........... 38
圖 十: 極大化利潤之下個股投資組合權重配置圖 (目標波動率=0.5%) ............. 41
圖 十一: 極大化利潤之下個股投資組合權重配置圖 (目標波動率=1.5%) ......... 42
圖 十二: 極小化風險之下個股投資組合權重配置圖 (目標報酬率=0.05%) ....... 43
圖 十三: 極小化風險之下個股投資組合權重配置圖 (目標報酬率=0.15%) ....... 44

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