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系統識別號 U0002-3006201423114000
中文論文名稱 估計結構轉變下的匯率波動性的持續性:以美元對新台幣為例
英文論文名稱 Estimating Volatility Persistence in Exchange Rates under Structural Changes: The Case of US Dollars to NT Dollars
校院名稱 淡江大學
系所名稱(中) 管理科學學系企業經營碩士在職專班
系所名稱(英) Executive Master’s Program of Business Administration(EMBA) in Management Sciences
學年度 102
學期 2
出版年 103
研究生中文姓名 陳品樺
研究生英文姓名 Pin-Hua Chen
學號 701620444
學位類別 碩士
語文別 中文
口試日期 2014-06-23
論文頁數 51頁
口試委員 指導教授-莊忠柱
委員-林忠機
委員-婁國仁
中文關鍵字 匯率報酬率  波動性持續性  ICSS演算法  C-GARCH(1,1)模型 
英文關鍵字 Return of exchange rate  Volatility persistence  ICSS algorithm  C-GARCH(1,1) model 
學科別分類
中文摘要 台灣屬於海島型國家,以國際貿易為經濟發展的主要動力,在全球化及資本高度移動性下,受國際市場所影響的匯率對於國家經濟發展有著重大影響,因而匯率波動性的影響更顯得重要,本研究先利用ICSS演算法尋找波動性結構轉變點,再利用C-GARCH(1,1)模型探討波動性結構轉變下美元對新台幣匯率報酬率的波動性持續性。
本研究經實證分析結果得知,在1991年1月至2013年12月樣本期間美元對新台幣匯率共產生八次波動性結構性轉變,在不同子期間的C-GARCH(1,1)模型所得到的 及 係數結果皆呈顯著,即波動性存在著ARCH與GARCH效果。由C-GARCH(1,1)模型係數得知,結構轉變下的匯率波動性是存在著持續性,在考慮波動性結構轉變下,當匯率日報酬率受到一單位標準化衝擊後,波動性的持續性隨未來期數的增加而回復到原來水準。本研究的研究結果可提供投資人決策的參考。
英文摘要 Since Taiwan is an island country, economy development is mainly driven by international trade. Under globalization and free capital movement cross countries, the exchange rate determined by international market affects significantly economy development, therefore, it is crucial to look closely into the volatility of exchange rate. ICSS algorithm is employed to detect the structural break points of volatility, C-GARCH(1,1) model is further adopted to discuss that the persistence of exchange rate volatility under structural change.
This empirical results show that there are 8 times of structural change in terms of US dollars to NT dollars’ exchange rate from Jan. 1991 to Dec. 2013. Furthermore, under different sub periods, the results of C-GARCH(1,1) model shows significantly, the volatility having both ARCH and GARCH effects. By looking at coefficients in GARCH(1,1) model, we realize that persistence for exchange rate’s volatility does exist. If structural change is taken into account, when daily return of exchange rate is impacted by one unit of standardized of over future periods, the persistence of volatility comes back to original level. The conclusions can provide references to investors for decision-making.
論文目次 目錄 III
表目錄 V
圖目錄 VI
第 1 章 緒論 1
1.1 研究背景與動機 1
1.2 研究目的 5
1.3 研究流程 6
1.4 研究範圍與限制 7
第 2 章 資料與實證方法 9
2.1 樣本資料與資料來源 9
2.2 實證模型 10
第 3 章 實證結果分析 18
3.1 基本敘述統計分析 18
3.2 不考慮結構轉變下的C-GARCH(1,1)模型係數的估計 23
3.3 利用修正ICSS演算法的波動性結構轉變點之檢測 25
3.4 匯率報酬率標準化衝擊對波動性持續性的影響 31
第 4 章 結論與建議 34
4.1 結論 34
4.2 建議 35
參考文獻 37
一、中文部分 37
二、英文部分 38
附 錄 43
附錄一:中央銀行匯率措施大事記(1991/01/01~2013/12/31) 43
表目錄
表3.1 匯率報酬率基本敘述統計量分析 20
表3.2 不考慮結構轉變下的C-GARCH(1,1)模型係數估計與檢定 23
表3.3 利用修正ICSS演算法檢測波動性結構轉變點 25
表3.4 不同期間的C-GARCH(1,1)模型係數估計與檢定 28
表3.5 考慮結構轉變下的C-GARCH (1,1)模型係數估計與檢定 30
表3.6 波動性的持續性比較 32
圖目錄
圖1.1 研究流程 7
圖3.1 美元對新台幣匯率時間走勢圖 19
圖3.2 美元對新台幣匯率日報酬率時間走勢圖 21
圖3.3 美元對新台幣匯率日報酬率直方圖 21
圖3.4 美元對新台幣匯率日報酬率的ACF與PACF 22
圖3.5 不考慮結構轉變的匯率日報酬率標準化殘差與標準化殘差平方的時間走勢圖 24
圖3.6 匯率日報酬率走勢圖及結構轉變轉換點示意圖 29
圖3.7 美元對新台幣日報酬率標準化衝擊的動態衝擊反應函數圖 31
參考文獻 一、中文部分
1.曾涵君(2010),“匯率報酬率波動之結構改變與GARCH模型應用:亞太地區之實證研究,” 國立中山大學經濟學研究所碩士論文。
2.黃朝暐(2007),“台灣主要外幣匯率報酬率的波動結構性改變與波動持續性之研究-DSFM模型與ICSS演算法之應用,” 國立中興大學企業管理學系碩士論文。
二、英文部分
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23.Lenza, A., M. Manera and M. McAleerd (2006), “Modeling dynamic conditional correlations in WTI oil forward and futures returns,” Finance Research Letters, 3(2), pp. 114-132.
24.Lunde A., O. E. B. Nielsen, P. R. Hansen and N. Shephard (2011), “Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise andnon-synchronous trading,” Journal of Econometrics, 162(2), pp. 149-169.
25.Mandelbrot, B. (1963), “The variation of certain speculative prices,” Journal of Business, 36, pp. 394-419.
26.Mikosch, T. and C. Starica (2004), “Changes of structure in financial time series and the GARCH model,” Review – Statistics Journal, 2(1), pp.41-73.
27.Morgn, I. G. (1976), “Stock price and heteroskedasticity,” Journal of Business, 49, pp. 2347-2370.
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