本研究利用傳統的F test、OLS-CUSUM test、ME test 以及Zeileis, Leisch, Hornik, and Kleiber(2005)提出的監控的一般化波動性檢定，探討美國西德州中級原油、布蘭特原油與S&P500大盤指數之月報酬率是否存在結構性變化，希望找出最符合實際的模型建構方法。然後再引用McCraken(2004)和Clark and McCraken (2001)所提出的預測方法及預測能力比較找出結構性變化點是否顯著改善模型預測能力。
    實證結果顯示，三者在使用傳統的檢定方法下多無法找出結構性變化，但使用監控的一般化波動性檢定法則可找到結構性變化。而在預測的顯著性檢定上，布蘭特原油月報酬率與美國西德州中級原油月報酬率之滾動預測皆為顯著，表示此兩項預測模型在考慮結構性轉變後能增加模型的準確度。

This research consider a wide array of fluctuation-type tests in a monitoring situation—given a history period for which a regression relationship is known to be stable, we test whether incoming data are consistent with the previously established relationship. We apply our methods to three data sets, returns of West Texas Intermediate oil, returns of Brent crude oil, and S&P 500 stock returns. Then, we generate simulated out-of-sample forecasts, forecast errors, and tests of mean square error (MSE) for a pair of nested models (the first model is a restricted version of the second) of a scalar prediction. The empirical results included that: (1) we can find structural changes from these three data sets by the generalized fluctuation test for monitoring. (2) the rolling forecast models of returns of WTI oil and returns of Brent crude oil both display that considering the factor of structure change will increase the power of forecast.

目錄

第一章  緒論..............................................1
第一節  研究動機與目的....................................1
第二節  研究架構..........................................2
第二章  文獻探討..........................................3
第一節  結構性變化研究方向之演進..........................3
第二節  研究方法之相關理論................................7
第三節  考慮結構性變化之其他模型及研究....................9
第三章  研究方法.........................................23
第一節  模型.............................................24
第二節  監控的一般化波動性檢定...........................26
第三節  以估計為基礎的模型調整...........................30
第四節  臨界值...........................................33
第五節  預測方法及績效評估...............................35
第四章  實證結果與分析...................................38
第一節  資料來源與處理...................................38
第二節  結構性變化點的檢定...............................40
第三節  模型預測績效比較.................................51
第五章  結論.............................................54
參考文獻.................................................56
附錄.....................................................63

 
                          圖目錄

圖1.1   研究流程圖	........................................2
圖4.1   美國西德州中級原油現貨價格走勢圖.................39
圖4.2   布蘭特原油現貨價格走勢圖.........................39
圖4.3   S&P500大盤指數走勢圖.............................39
圖4.4   美國西德州中級原油月報酬率走勢圖.................40
圖4.5   美國西德州中級原油月報酬率F值走勢圖..............41
圖4.6   美國西德州中級原油月報酬率OLS-CUSUM TEST波動過程圖	................................................41
圖4.7   美國西德州中級原油月報酬率ME TEST波動過程圖......42
圖4.8   美國西德州中級原油月報酬率在H=1下之ME TEST監控圖.43
圖4.9   美國西德州中級原油月報酬率在H=0.5下之ME TEST監控圖	................................................43
圖4.10  布蘭特原油月報酬率走勢圖.........................44
圖4.11  布蘭特原油月報酬率F值走勢圖......................44
圖4.12  布蘭特原油月報酬率OLS-CUSUM TEST波動過程圖.......45
圖4.13  布蘭特原油月報酬率ME TEST波動過程圖..............45
圖4.14  布蘭特原油月報酬率在H=1下之ME TEST監控圖.........46
圖4.15  布蘭特原油月報酬率在H=0.5下之ME TEST監控圖.......46
圖4.16  S&P500股票指數月報酬率走勢圖.....................47
圖4.17  S&P500股票指數月報酬率F值走勢圖..................47
圖4.18  S&P500股票指數月報酬率OLS-CUSUM TEST波動過程圖...48
圖4.19  S&P500股票指數月報酬率ME TEST波動過程圖..........48
圖4.20  S&P500股票指數月報酬率在H=1下之ME TEST監控圖.....49
圖4.21  S&P500股票指數月報酬率在=0.5下之ME TEST監控圖....49

 
                           表目錄

表 2.1  結構性變化相關理論...............................17
表 2.2  與結構性變化相關實證研究.........................20
表 4.1  結構性變化點檢定結果.............................50
表 4.2  美國西德州中級原油月報酬率預測績效...............51
表 4.3  布蘭特原油月報酬率預測績效.......................51
表 4.4  S&P500股票指數月報酬率預測績效...................52
表 4.5  預測能力顯著性檢定...............................52

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