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系統識別號 U0002-1901200810294800
中文論文名稱 短期利率動態模型-偏態分配之實證研究
英文論文名稱 Modeling the dynamics of short-term interest rate volatility with skewed distributions
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士在職專班
系所名稱(英) Department of Banking and Finance
學年度 96
學期 1
出版年 97
研究生中文姓名 洪堯基
研究生英文姓名 Yao-Chi Hung
學號 794490374
學位類別 碩士
語文別 中文
口試日期 2007-12-29
論文頁數 63頁
口試委員 指導教授-李命志
共同指導教授-鄭婉秀
委員-俞海琴
委員-邱建良
委員-姜淑美
中文關鍵字 單因子模型  水準效果  GARCH  SGED 
英文關鍵字 one-factor model  level effect  GARCH  SGED 
學科別分類
中文摘要 本研究將一般短期利率模型中誤差項之常態分配換成SGED及skewed t,期望找出最佳實證配適效果。首先利用單因子CEV模型採用線性漂浮項,只考慮水準效果下,利率波動的敏感度無法正確捕捉序列相關的條件變異。接著使用間斷時間GARCH模型搭配非線性漂浮項,合併水準效果及GARCH效果於變異項後,大大降低了水準效果的參數估計值,因此認為單純考慮水準效果之利率模型對於解釋短期利率動態調整過程之波動性仍嫌不足,假設誤差項服從GED分配,並採用非線性漂浮項之GARCH模型,對於波動性的解釋及估計金融商品之相關議題更有助益。
英文摘要 This paper estimates the generalized and nested models with SGED and skewed t distributions to determine the correct specification of the conditional distribution of short-term interest rates. First, the paper generalized the parametric models of short-term interest rate that nest one-factor CEV model with linear drift and level effect. Second, the paper nested the discrete-time GARCH models that incorporate the level and GARCH effects into the diffusion function. The empirical research points out that the significant parametric estimate reduces the level effect for the variance function. Moreover, the results can not fully capture modeling the dynamics of short-term interest rate volatility that only with level effect. Finally, the results also show that the significance of nonlinearity in the drift function relies crucially on the specification of the volatility function.
論文目次 目 錄
第壹章 緒論 1
第一節 研究動機 1
第二節 研究目的 2
第三節 研究架構 3
第貳章 文獻回顧 5
第一節 短期利率模型的演進 5
第二節 短期利率模型之實證研究 10
第三節 短期利率之國內文獻回顧 21
第叁章 研究方法 25
第一節 時間序列資料檢定 25
第二節 模型架構 30
第三節 統計方法 34
第肆章 實證分析 38
第一節 資料描述 38
第二節 時間序列資料檢定 40
第三節 模型檢驗 44
第伍章 結論 56
參考文獻 58

表目錄
表2-1 CKLS短期利率模型之參數限制設定比較 11
表2-2 Sun(2003)利率模型之參數設定比較 18
表2-3 Bali (2000)利率模型變異項設定比較 19
表3-1 偏態分配檢定 36
表3-2 厚尾分配檢定 37
表3-3 變異項型態檢定 37
表4-1 美國三個月期國庫券利率之基本統計量 38
表4-2 美國三個月期國庫券利率最適落階期選取 41
表4-3 美國三個月期國庫券利率ADF單根檢定 41
表4-4 美國三個月期國庫券利率PP單根檢定 42
表4-5 ARCH效果檢定 43
表4-6 偏態分配檢定 45
表4-7 厚尾分配檢定 46
表4-8 變異項型態檢定 (Normal) 47
表4-9 變異項型態檢定 (GED) 49
表4-10 變異項型態檢定 (Symmetric t) 50
表4-11 各種分配之最大概似估計 51
表4-12 單因子CEV擴散模型參數估計 52
表4-13 漂浮項非線性模型之參數估計值—Normal distribution 53
表4-14 漂浮項非線性模型之參數估計值—GED distribution 54
表4-15 漂浮項非線性模型之參數估計值—Symmetric t distribution 55

圖目錄
圖1-1 研究流程 4
圖4-1 美國三個月期國庫券利率走勢圖 39
圖4-2 美國三個月期國庫券利率經一階差分後走勢圖 40
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4.何怡諄,"台灣短期利率之不對稱動態擴散研究",民國94年6月,私立淡江大學財務金融學系金融碩士班碩士論文。
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二、國外部分
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