本文研究以厚尾分配之 ARJI 模型探討原油現貨、原油期貨與原油相關產業股價指數之波動性，進一步採用 Bai and Perron (1998) 區分結構轉折點，以原油現貨為基準點，分析波動性於上漲前後的差異性及原油現貨、原油期貨及原油相關產業股價指數之間波動相關性。最後，選取樣本期間內之重大事件，探討事件期間之跳躍頻率、跳躍機率。結果發現，當原油現貨、原油期貨及原油相關產業股價指數在上漲後，其平均跳躍頻率與平均跳躍機率都較小。在重大事件的衝擊影響方面，美國 911 事件之衝擊最為強烈。在 Pearson 相關檢定顯示波動性在現貨、期貨與指數間成反向關係。

This paper adopts heavy tail distribution to discuss the volatility of crude oil stock、future and crude oil related industry stock price index.  Further, I adopt Bai and Perron (1998) model, divided structure transition, using the crude oil stock as a benchmark and analyze the discrepancy between the volatility of before-rise and after-rise and volatility correlation between the crude oil stock, future and crude oil related industry stock price index.  Finally, I select the vast events in the period of sample, discussing the DV and JP during events.  Besides, after the crude oil stock, future and crude oil related industry stock price’s index rise, the average DV and JP are smaller.  In the aspect of huge influence of heavy events, 911 is the roughest one.  Pearson interaction test shows the reverse relationship between the volatility of future, stock and index.

第一章 緒論 ...................................................................................................1
第一節 前言....................................................................................................1
第二節 研究動機與目的....................................................................................2
第三節 研究架構..............................................................................................4
第二章 文獻回顧..............................................................................................6
第一節 國外之文獻回顧....................................................................................6
第二節 國內之文獻回顧...................................................................................10
第三章 研究方法.............................................................................................14
第一節 單根檢定.............................................................................................14
第二節 ARCH 模型..........................................................................................18
第三節 GARCH-NoVaS 模型. ..........................................................................20
第四節 ARJI 模型............................................................................................27
第五節 結構性轉折..........................................................................................32
第六節 本文實證模型.......................................................................................35
第四章 實證分析..............................................................................................36
第一節 資料處理與分析....................................................................................36
第二節 單根檢定..............................................................................................39
第三節 ARCH 檢定..........................................................................................42
第四節 ARJI 模型檢定......................................................................................43
第五節 BAI 模型檢定........................................................................................52
第六節 Pearson 相關檢定.................................................................................56
第五章 結論.....................................................................................................57
參考文獻.........................................................................................................59

表目錄
表4.1  日報酬率的簡單統計量.............................................................................37
表4.2  ADF 單根檢定法(水準項) .........................................................................40
表4.3  PP 單根檢定法(水準項)............................................................................40
表4.4  ADF 單根檢定法(差分項)..........................................................................41
表4.5  PP 單根檢定法(差分項)............................................................................41
表4.6  ARCH 效果檢定......................................................................................42
表4.7  ARJI 模型估計與檢定...............................................................................45
表4.8  西德州中級原油現貨、期貨及相關產業股價指數股價報酬率在上漲前
、後報酬區間之平均跳躍頻率與跳躍機率............................................................53
表4.9  西德州中級原油現貨、期貨及相關產業股價指數股價報酬率在重大事
件期間之平均跳躍頻率與跳躍機率......................................................................55
表4.10  現貨、期貨、指數之波動性的Pearson相關檢定.........................................56

圖目錄
圖1.1  研究流程圖..............................................................................................5
圖4.1  西德州中級原油現貨(BUSOILP)走勢圖.......................................................38
圖4.2  西德州中級原油期貨(CL1)走勢圖...............................................................38
圖4.3  原油相關產業(USCRWTIC)走勢圖..............................................................38

圖4.4  現貨跳躍頻率...........................................................................................46
圖4.5  現貨跳躍機率...........................................................................................46
圖4.6  期貨跳躍頻率...........................................................................................47
圖4.7  期貨跳躍機率...........................................................................................47
圖4.8  指數跳躍頻率...........................................................................................48
圖4.9  指數跳躍機率...........................................................................................48
圖4.10 現貨跳躍頻率..........................................................................................49
圖4.11 現貨跳躍機率..........................................................................................49
圖4.12 期貨跳躍頻率..........................................................................................50
圖4.13 期貨跳躍機率..........................................................................................50
圖4.14 指數跳躍頻率..........................................................................................51
圖4.15 指數跳躍機率..........................................................................................51

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