淡江大學覺生紀念圖書館 (TKU Library)
進階搜尋


下載電子全文限經由淡江IP使用) 
系統識別號 U0002-2201200810234600
中文論文名稱 短期利率動態波動模型 - 偏態分配之應用
英文論文名稱 Modeling the Dynamic of Interest Rate Volatility with Skewed Fat-tail Distribution
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
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 林慧琪
研究生英文姓名 Hui-Chi Lin
電子信箱 cofannys@yahoo.com.tw
學號 694490425
學位類別 碩士
語文別 中文
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
中文關鍵字 不對稱  偏態 
英文關鍵字 GARCH  NGARCH  NGARCH-Skewed t  Asymmetric  Skewed 
學科別分類 學科別社會科學商學
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.
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
參考文獻 1. 何怡諄 (2005),"台灣短期利率之不對稱動態擴散研究",淡江大學財務金融學系金融碩士班碩士論文。

2. 莊志宏 (2005),"利率模型之實證與商品評價",輔仁大學金融研究所碩士論文。

3. 商振綱 (2005),"時間數列應用於利率預測模型之研究",長庚大學企業管理研究所碩士論文。

4. 黃博怡、邱哲修、林卓民、陳建宏 (2005),"短期利率之動態條件變異與預測績效之探討",金融風險管理季刊,第1卷,第2期,頁17-32。

5. 蔡宗和 (2005),"厚尾GARCH模型在台灣金融資產之應用",淡江大學財務金融所碩士論文。

6. 袁鴻毅 (2004),"短期利率之實證研究及外溢效果-以東亞之日韓新港台五國暨美國資料為研究對象",中正大學財務金融研究所碩士論文。

7. 陳佳宜 (2004),"短期利率波動的預測與檢定",暨南國際大學經濟學研究所碩士論文。

8. 林常青、洪茂蔚、管中閔 (2002),"台灣短期利率的動態行為:狀態轉換模型的應用",經濟論文,第30卷,第1期,頁29-55。

9. 張美菁 (2000),"短期利率隨機變動模型之實證研究",高雄第一科技大學金融營運系研究所碩士論文。

10. Ahn, D., and Gao, B. (1999), "A Parametric Nonlinear Model of Term Structure Dynamics", Review of Financial Studies, vol. 12, pp. 721-762.

11. Aït-Sahalia, Y. (1996), "Testing Continuous-time Models of the Spot Interest Rate", Review of Financial Studies, vol. 9, pp. 385-426.

12. Aït-Sahalia, Y. (1996), "Nonparametric pricing of interest rate derivatives ", Economertica, vol. 64, pp. 527-560.

13. Bali, T. G., and Wu, L. (2006), "A Comprehensive Analysis of the Short-term Interest Rate Dynamics", Journal of Banking & Finance, Vol. 30, pp. 1269-1290.

14. Bali, T. G. (2000), "Testing the Empirical Performance of Stochastic Volatility Models of the Short-term Interest Rate", Journal of Financial and Quantitative Analysis, vol. 35, pp. 307-327.

15. Bali, T. G. (2000), "Modeling the conditional mean and variance of the short rate using diffusion, GARCH, and moving average models", Journal of Financial and Quantitative Analysis, vol. 20, pp. 717-751.

16. Black, F. K. P., and Scholes, M. (1973), "The Pricing of Options and Corporate Liabilities", Journal of Political Economy, vol. 81, pp. 637-654.

17. Bollerslev, T. (1987), "A conditionally heteroscedastic time series model for security prices and rates of return data", Review of Economics and Statistic, vol. 59, pp. 542-547.

18. Bollerslev, and Taylor, (1986), "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, vol. 31, pp. 307-327.

19. Brenner, R., Harjes, R., and Kroner, K. (1996), "Another look at models of the short-term interest rate", Journal of Financial and Quantitative Analysis, vol 31, pp. 85-107.

20. Box, G. E. P., and Jenkins, G. M. (1976), "Time Series Analysis: Forecasting and Control", Holden-Day, San Francisco.

21. Chan, K., Karolyi, G. A., Longstaff, F. A., and Sanders, A. B. (1992), "An empirical comparison of alternative models of the short-term interest rate," Journal of Finance, vol 47, pp. 1209-1227.
22. Chapman, D. A., and Pearson, N. D. (2000), "Is the short rate drift actually nonlinear," Journal of Finance, vol 55, pp. 355-388.

23. Conley, T. G., Hansen, L. P., Luttmer, E. G. Z., and Scheinkman, J. A. (1997), "Short-term Interest Rate as Subordinated Diffusions", Review of Financial Studies, vol. 10, pp. 525-577.

24. Cox, J. C., Ingersoll, J. E. and Ross, S. A. (1985), "A theory of the term structure of interest rates," Econometrica, vol 53, pp. 385-407.

25. Cox, J. C., Ingersoll, J. E. and Ross, S. A. (1980), "An analysis of variable rate loan contracts," Journal of Finance, vol 35, pp. 389-403.

26. Dickey, D. A., and Fuller, W. A. (1979), "Distributions of the Estimators for Autoregressive Time Series with a Unit Root", Journal of the American Statistical Association, vol. 74, pp. 427-431.

27. Ding, Z., Granger, C. W. J., and Engle, R. E. (1993), "A Long Memory Property of Stock Market Returns and a New Model", Journal of Empirical Finance, vol. 1, pp. 83-106.

28. Dothan, L. (1978), "On the Term Structure of Interest Rates", Journal of Financial Economics, vol. 6, pp. 59-69.

29. Engle, R. F., Lilien, D. M., and Robbins, R. P. (1987), "Estimating Time Varying Risk Premia in the Term Structure : The ARCH-M model", Econometrica, vol. 55, pp. 391-408.

30. Engle, R. F., and Ng, V. K. (1993), "Measuring and Testing the Impact of News on Volatility", Journal of Finance, vol. 48, pp. 1749-1778.
31. Higgins, M. L., and Bera, A. K. (1992), "A Class of Nonlinear Arch Models", International Economic Review, vol. 33, pp. 137-158.

32. Ho, T. S. Y., and Lee, S. B. (1986), "Term Structure Movements and Pricing Interest Rate Contingent Claims", Journal of Finance, vol. 41, pp. 1011-1029.

33. Hong, Y., Li, H., and Zhao, F. (2004), "Out-of-sample Performance of Discrete-time Spot Interest Rate Models", Journal of Business and Economics Statistics, vol. 22, pp. 457-472.

34. Hull, J., and White, A. (1990), "Pricing Interest Rate Derivative Securities", Review of Financial Studies, vol. 3, pp. 573-592.

35. Merton, R. (1973), "Theory of Rational Option Pricing", Bell Journal of Economics and Management Science, vol. 4, pp. 141-183.

36. Mittnik, S., and Paolella, M. S. (2000), "Conditional Density and Value-at-Risk Prediction of Asian Currency Exchange Rates", Journal of Forecasting, vol. 19, pp. 313-333.

37. Nelson, D. B. (1991), "Conditional Heteroskedasticity in Asset Returns: A New Approach", Econometrica, vol. 59, pp. 347-370.

38. Phillips, P. C. B., and Perron, P. (1988), "Testing for a UnitRoot in Time Series Regressions", Biometrika, vol. 65, pp. 335-346.

39. Phillips, P. C. B. (1987), "Time Series Regressions with a Unit Root", Econometrica, vol. 55, pp. 277-301.

40. Giot, P., and Laurent, S. (2003), "Value-at-risk for Long and Short Trading Positions", Journal of Applied Econometrics, vol. 18, pp. 641-663.

41. Stanton, R. (1997), "A nonparametric model of term structure dynamics and the market price of interest rate risk," Journal of Finance, vol 52, pp. 1973-2000.

42. Vasicek, O. A. (1977), "An Equilibrium Characterization of the Term Structure", Journal of Financial Economics, vol. 5, pp. 177-188.
論文使用權限
  • 同意紙本無償授權給館內讀者為學術之目的重製使用,於2008-01-29公開。
  • 同意授權瀏覽/列印電子全文服務,於2008-01-29起公開。


  • 若您有任何疑問,請與我們聯絡!
    圖書館: 請來電 (02)2621-5656 轉 2281 或 來信