| dc.contributor.advisor | 廖四郎 | zh_TW |
| dc.contributor.author (Authors) | 趙明威 | zh_TW |
| dc.creator (作者) | 趙明威 | zh_TW |
| dc.date (日期) | 2009 | en_US |
| dc.date.accessioned | 8-Dec-2010 01:56:53 (UTC+8) | - |
| dc.date.available | 8-Dec-2010 01:56:53 (UTC+8) | - |
| dc.date.issued (上傳時間) | 8-Dec-2010 01:56:53 (UTC+8) | - |
| dc.identifier (Other Identifiers) | G0097352011 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/49008 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 金融研究所 | zh_TW |
| dc.description (描述) | 97352011 | zh_TW |
| dc.description (描述) | 98 | zh_TW |
| dc.description.abstract (摘要) | 本篇論文的目的在驗證台股期貨報酬率與其波動度之間的相對應關係是由槓桿效果或是波動度回饋效果之因果關係所驅動，並且分別以日資料以及高頻率日內資料進行實證。實證結果發現在高頻率日內資料的應用下，能夠比日資料揭露出更詳細的波動度資訊，將報酬率與波動度間的對應關係描繪得更加明瞭。且在大多數資料期間內，同期下，台股期貨報酬率與其波動度之間會呈現負相關性，而負相關的程度會隨著報酬率遞延期數越長而逐漸遞減，因此可以發現報酬率與其波動度間呈現一個經由報酬率進而影響波動度的對應關係，與槓桿效果的因果關係雷同。最後，本文亦採用了常見的波動度預測模型，歷史模擬法、GARCH(1,1)模型、EGARCH(1,1)模型以及GJR-GARCH(1,1)模型，觀察這些波動度模型所預測出之波動度是否含有上述驗證的資訊意涵，並比較各波動度模型的預測能力，結果發現GJR-GARCH模型於樣本外期間所預測之波動度，其與報酬率之間不但具有槓桿效果的因果關係，且預測能力亦於四個波動度模型中表現最佳。 | zh_TW |
| dc.description.tableofcontents | 第一章、 前言…………………………………………………………1 第二章、 文獻回顧……………………………………………………3 第一節 波動度不對稱之現象…………………………………3 第二節 波動度之預測…………………………………………8 第三章、 研究方法……………………………………………………10 第一節 資料來源……………………………………………10 第二節 結構性轉變之檢定…………………………………10 第三節 比較日報酬率與每五分鐘報酬率…………………12 第四節 波動度預測模型……………………………………15 第五節 衡量波動度模型之預測能力………………………20 第四章、 實證結果……………………………………………………21 第一節 資料分析……………………………………………21 第二節 比較日報酬率與每五分鐘報酬率…………………25 第三節 各波動度預測模型之比較…………………………31 第五章、 結論…………………………………………………………49 參考文獻………………………………………………………………51 附錄A、各波動度模型於日波動度預測之時間序列圖形…………53 附錄B、各波動度模型於每五分鐘波動度預測之時間序列圖形…55 | zh_TW |
| dc.language.iso | en_US | - |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#G0097352011 | en_US |
| dc.subject (關鍵詞) | 高頻率日內資料 | zh_TW |
| dc.subject (關鍵詞) | 槓桿效果 | zh_TW |
| dc.subject (關鍵詞) | 波動度預測模型 | zh_TW |
| dc.subject (關鍵詞) | GJR-GARCH模型 | zh_TW |
| dc.title (題名) | 以高頻率日內資料驗證報酬率與波動度之因果關係-以台灣期貨市場為證 | zh_TW |
| dc.title (題名) | Use high-frequency data measuring the relationship between returns and volatility with Taiwan futures market data | en_US |
| dc.type (資料類型) | thesis | en |
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