| dc.contributor.advisor | 杜化宇 | zh_TW |
| dc.contributor.author (Authors) | 湯亞蒨 | zh_TW |
| dc.creator (作者) | 湯亞蒨 | zh_TW |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 01:54:27 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 01:54:27 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 01:54:27 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0097357025 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/48969 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 財務管理研究所 | zh_TW |
| dc.description (描述) | 97357025 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 過去文獻在探究股市報酬率波動行為時，多採用GARCH/ARCH等傳統時間序列模型，但這些模型不能解決波動度的高持續性(persistence)。本文以Gray(1996)提出的一般化狀態轉換模型(GRS-GARCH)為基礎並加入Dueker(1997)所提出的Dispersion設定，建立GRS-GARCH-K以及GRS-GRACH-DF模型來預測股市報酬率波動行為。GRS-GARCH-K模型設定最大的優點是加入Student’s t分配之自由度可隨狀態轉換，使峰態亦可隨狀態轉換，另外GRS-GRACH-DF模型除了擁有GRS-GARCH-K的特性外，還擁有均數復歸的特色。本文以單一狀態下的GARCH-N、GARCH-t模型，以及雙狀態下的GRS-GARCH、GRS-GARCH-K以及GRS-GARCH-DF模型做研究，並以台灣股價加權股價指數為研究樣本，探討並預測股價日報酬率的波動度，最後將波動度代入Black-Scholes選擇權訂價模型，探討模型之其評價效果。研究顯示，在樣本內以AIC和SBC檢定法則下，GRS-GARCH-DF有最好的配適能力，樣本外的預測能力在MAE、MASE、MAPE三種誤差比較法下，GRS-GARCH-DF相較於GARCH-N、GARCH-t、GRS-GARCH和GRS-GARCH-K四種模型，在訂價方面與市場價格誤差最小，並以DM檢定法證實其統計上的顯著性。因此擁有均數復歸特色的GRS-GARCH-DF在波動度的估計上相較於其他模型來的優異。 | zh_TW |
| dc.description.tableofcontents | 第壹章 緒論第一節 研究背景與動機……………………………………………………1.第二節 研究目的……………………………………………………………3.第三節 研究架構……………………………………………………………4.第四節 研究流程圖…………………………………………………………5.第貳章 文獻回顧與探討第一節 波動度理論模型與文獻回顧………………………………………6.第二節 狀態轉換之相關文獻………………………………………………9.第三節 選擇權之相關介紹與文獻…………………………………………12.第參章 研究方法第一節 本文使用模型介紹…………………………………………………15.第二節 模型配適度檢定……………………………………………………22.第三節 模型預測與預測績效之檢定………………………………………23.第肆章 實證結果與分析第一節 樣本資料介紹與資料處理方法……………………………………27.第二節 各種模型之探討與比較……………………………………………31.第三節 樣本內模型配適度結果與分析……………………………………36.第四節 樣本外預測結果與分析……………………………………………39.第伍章 研究結論與建議……………………………………………..45.附錄……………………………………………………………………47.參考文獻………………………………………………………………49. | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097357025 | en_US |
| dc.subject (關鍵詞) | 台指選擇權 | zh_TW |
| dc.subject (關鍵詞) | 條件波動度 | zh_TW |
| dc.subject (關鍵詞) | Regime-Switching | en_US |
| dc.subject (關鍵詞) | Dispersion | en_US |
| dc.subject (關鍵詞) | GRS-GARCH | en_US |
| dc.title (題名) | 波動自我復歸特性對股價指數選擇權評價重要嗎? | zh_TW |
| dc.title (題名) | Is Mean Reversion Feature of Volatility Important to Stock Index Option? | en_US |
| dc.type (資料類型) | thesis | en |
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