系統識別號 | U0002-2201200810234600 |
---|---|
DOI | 10.6846/TKU.2008.00721 |
論文名稱(中文) | 短期利率動態波動模型 - 偏態分配之應用 |
論文名稱(英文) | Modeling the Dynamic of Interest Rate Volatility with Skewed Fat-tail Distribution |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 財務金融學系碩士班 |
系所名稱(英文) | Department of Banking and Finance |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 96 |
學期 | 1 |
出版年 | 97 |
研究生(中文) | 林慧琪 |
研究生(英文) | Hui-Chi Lin |
學號 | 694490425 |
學位類別 | 碩士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2008-01-20 |
論文頁數 | 66頁 |
口試委員 |
指導教授
-
李命志
委員 - 李命志 委員 - 邱建良 委員 - 邱哲修 委員 - 姜淑美 |
關鍵字(中) |
不對稱 偏態 |
關鍵字(英) |
GARCH NGARCH NGARCH-Skewed t Asymmetric Skewed |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
本研究係在單因子利率模型架構下,以BHK模型與CKLS模型比較GARCH效果,並以NGARCH模型來解釋利率的動態波動,考量短期利率模型中的條件變異數在不同分配下,常態分配的假設是否為恰當的分配。在考量短期利率的波動性之後,結果發現利率不對稱現象並不存在,也就是當利率上漲或下跌時,其接下來的向下調整或向上調整幅度並無顯著差異。因此在短期利率模型中檢驗是否具不對稱性,將有助於改善各參數的估計分析,並且可更近一步執行金融相關商品的定價與避險工作。 實證結果顯示美國3個月期的國庫券利率,未受限制的Level-NGARCH模型對於解釋短期利率動態過程之能力明顯較受限制的模型要好。且實證結果顯示,條件變異數為Skewed t分配的NGARCH-Skewed t模型,對於解釋短期利率模型之動態過程顯著比條件變異數為常態分配還要來的精確。最後發現不對稱效果並無顯著的存在NGARCH-Skewed t模型之中,但偏態顯著存在於模型中,因此NGARCH-Skewed t模型可視為短期利率之最佳模型。 |
英文摘要 |
This paper examines the dynamics model of short-term interest rate under the one-factor interest rate structure model. This paper compares the GARCH result with the CKLS and BHK models. Then we explain the dynamic volatility of the short-term interest rate with the NGARCH model, considering the conditional variance in normal and Skewed-t distribution. We also consider the volatility of short-term interest rate, based on the assumption that, in the primary model, the symmetrical response appears in the change of interest rate. However, we find that the asymmetric phenomenon exists in economic situation and that the short-term interest rate model has not asymmetry. The empirical research points out that the unrestricted Level-NGARCH model is better than the restricted model in terms of 3-month interest rate of Treasury Bill, and that the modeling of the linear drift NGARCH- Skewed t in the short-term interest rate is the best. The asymmetric effect is significant in this model. I develop some asymmetric framework in mean function. When estimating the nonlinear drift NARCH model, the asymmetric response in the drift function is the best model. |
第三語言摘要 | |
論文目次 |
目錄 第一章 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..................................................................................................4 第二章 文獻回顧..........................................................................................................6 第一節 短期利率理論模型之相關文獻..............................................................6 第二節 短期利率實證研究之相關文獻..............................................................9 第三節 其他國內外之相關文獻........................................................................19 第三章 研究方法........................................................................................................25 第一節 ARCH 模型與GARCH 模型...............................................................25 第二節 模型檢驗................................................................................................30 第三節 GARCH 模型.........................................................................................34 第四節 NGARCH 模型......................................................................................38 第五節 不對稱檢定............................................................................................42 第四章 實證分析........................................................................................................46 第一節 基本統計量檢定....................................................................................46 第二節 模型檢定................................................................................................48 第三節 GARCH 與NARCH 效果檢驗.............................................................51 第四節 波動性不對稱檢驗................................................................................57 第五章 結論................................................................................................................60 參考文獻......................................................................................................................62 表目錄 表2-1 CKLS 短期利率模型之參數限制..............................................................10 表3-1 ARCH、GARCH 模型的條件變異數.......................................................29 表3-2 BHK 模型與CKLS 模型的概似比率檢定................................................38 表3-3 不同分配之NGARCH 檢定......................................................................42 表3-4 受限制與未受限制之NGARCH 模型的比較..........................................42 表4-1 美國3 個月期國庫券利率的基本統計量.................................................47 表4-2 美國3 個月期國庫券利率ARCH 與GARCH 效果檢定........................48 表4-3 AIC 或BIC 落階期數選取.........................................................................49 表4-4 美國國庫券利率ADF 單根檢定-水準項...............................................49 表4-5 美國國庫券利率ADF 單根檢定-差分項...............................................50 表4-6 美國國庫券利率PP 單根檢定-水準項...................................................50 表4-7 美國國庫券利率PP 單根檢定-差分項...................................................50 表4-8 各模型的短期利率參數估計值-水準項與GARCH 模型........................51 表4-9 BHK 與CKLS 模型之比較........................................................................53 表4-10 各模型的短期利率參數估計值-水準項與NARCH 模型........................54 表4-11 不同分配之NGARCH 效果檢驗..............................................................56 表4-12 受限制與未受限制之NGARCH 模型的比較結果..................................57 表4-13 不對稱診斷檢定(一)...................................................................................58 表4-14 不對稱診斷檢定(二)...................................................................................59 圖目錄 圖1-1 研究流程.........................................................................................................5 圖4-1 美國3 個月期國庫券原始利率走勢...........................................................46 圖4-2 美國3 個月期國庫券利率一階差分之利率水準.......................................47 |
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