本文以台灣股票指數的資料為研究對象，結合Engle and Lee (1993)的要素模型與Chan and Maheu (2002)的ARJI模型組合成ARJI-Trend模型，並加入Bai and Perron(2003)的結構轉變分析，來探討金融資產報酬的特性。
  實證結果證明：1.條件變異數與跳躍強度是隨著時間的改變而變動，並非固定不變。2.條件變異數中的恆常要素與短暫要素確實存在；且短暫要素會比恆常要素收斂得快，條件變異數會收斂為一個常數，符合趨勢本身為定態的條件。
  藉由本文的實證結果，以期對ㄧ般法人機構或是投資人在進行對台灣股市投資時，尤其對股票衍生性商品之評價、避險、與交易等，能有較多的資訊作出正確的投資決策。

This article regards the stock index in Taiwan as the research object. we use ARJI-Trend model combining Engle and Lee (1993)Component model with Chan and Maheu (2002)ARJI model and a structural break analysis by Bai and Perron(2003), to study the identities of assets return volatility. 
  The evidence significant indicates that : 1. We find significant time variation in the conditional variance and the conditional jump intensity. 2. We find that both permanent and transitory components of the conditional variance are really exist in the whole sample period; Transitory component will decay faster than the trend, the condition variance will eventually converge a constant since the trend itself is stationary.
  With the research result of this article, we expect to provide some organizations and individuals with more information to make better investment decisions in Taiwan equity market, especially in derivatives pricing, hedging, and trading ,etc.

目         錄
第一章    緒論
    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	國內外之文獻回顧
    第一節      國外文獻回顧………………………………………..6.
    第二節      國內文獻回顧………………………………………..8.
第三章	研究方法
    第一節      單根檢定……………………………………………11.
    第二節      ARJI模型………………………………………………15.
第三節      要素(Component)模型…………………………………19.
第四節	     ARJI-Trend模型……………………………………….20.
第四章	實證結果分析
    第一節      資料處理與初步分析……………………………….22.
第二節	 單根檢定……………………………………………….26.
第三節	 ARJI-Trend with Structural Break模型
的實證結果…………………………………………29.
第五章	結論………………………  ………………...44.
參考文獻........................................46
                   
   表 目 錄

【表4.1】日報酬率的簡單統計量…………………………………………23.
【表4.2】ADF單根檢定法(水準項)………………………………………27.
【表4.3】PP單根檢定法(水準項)…………………………………………27.
【表4.4】ADF單根檢定法(差分項)………………………………………27.
【表4.5】PP單根檢定法(差分項)…………………………………………28.
【表4.6】ARJI-Trend with Structural Break模型的實證結果…………….31.
【表4.7】重大事件跳躍強度與短暫要素的估計值……………………….42.

                   圖  目  錄

【圖1.1】研究流程圖……………………………………………………………..5.
【圖4.1】台灣加權股價指數(TWII)的走勢………………………………….24.
【圖4.2】摩根台指期貨(MSTW)的走勢…………………………………………24.
【圖4.3】台股店頭指數(TWOII)的走勢…………………………………………24.
【圖4.4】台灣加權股價指數日報酬率的走……………………………………25.
【圖4.5】摩根台指期貨日報酬率的走勢圖……………………………………25.
【圖4.6】台股店頭指數日報酬率的走勢圖……………………………………25.
【圖4.7】台灣加權股價指數的條件變異數(Conditional Variance)……………33.
【圖4.8】摩根台指期貨的條件變異數(Conditional Variance)…………………33.
【圖4.9】台股店頭的條件變異數(Conditional Variance)…………………….…33.
【圖4.10】台灣大盤指數之條件變異數之恆常要素與短暫要素對照圖………35.
【圖4.11】摩根台指期貨之條件變異數之恆常要素與短暫要素對照圖………35.
【圖4.12】台股店頭指數之條件變異數之恆常要素與短暫要素對照圖………35.
【圖4.16】台灣大盤指數的跳躍強度………………………..…………………37.
【圖4.17】摩根台指期貨的跳躍強度……………………………………………37.
【圖4.18】台股店頭指數的跳躍強度……………………………………………37.

一、國內文獻回顧：

林丙輝與葉仕國(1999)，“台灣股票價格非連續跳耀變動與條件異質變異之研究〞，證券市場發展季刊，第11卷第1期：61-92頁。

林惠那(2004)，“重大事件對台灣股匯市之影響—利用跳躍-擴散模型〞，淡江大學財務金融所碩士論文。

胡緒寧(2005) ，“結構轉變跳躍模型探討股價日報酬率的恆常與移轉成分〞，東海管理評論。

徐明傑(2003)，“價格跳躍下的最適必險策略—S&P 500指數現貨與期貨 〞，淡江大學財務金融所碩士論文。

黃立德(2004)，“跳躍干擾對股價報酬的影響〞，淡江大學財務金融所碩士論文。

趙桂光(2004)，“兩岸危機事件對台灣股匯市之跳躍風險〞，淡江大學財務金融所碩士論文。

廖榮達(2004)，“選舉與亞洲金融風暴對台灣股匯市之跳躍風險〞，淡江大學財務金融所碩士論文。


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