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題名 財務市場之計量分析--以台灣、美國、日本市場為例
作者 鄭敦仁
貢獻者 毛維凌
鄭敦仁
關鍵詞 多變數自迴歸條件變異數異質模型
multivariable garch model
日期 1998
上傳時間 27-Apr-2016 11:12:38 (UTC+8)
摘要 自從Engle（1982）觀察金融資產報酬序列具有波動叢聚的現象，進而提出自迴歸條件變異數異質（Autoregressive Conditional Heteroskedasticity）模型後，解決了傳統的時間序列模型如自我迴歸移動平均（Autoregressive Moving Average；簡稱ARMA）模型在財務金融的實證研究上對變異數異質（Heteroskedasticity）的現象不能做有效解釋的問題後。陸續的延申模型如Bollerslev（1986）一般化自我迴歸條件異質變異（General Autoregressive Conditional Heteroskedasticity；簡稱GARCH）模型、Chou（1988）的GARCH - M（General Autoregressive Conditional Heteroskedasticity in Mean；簡稱GARCH - M）模型，已廣泛的應用於分析股票市場股價持續波動的問題上。
參考文獻 林建甫和張焯然 (1996) 〈ARCH族模型估計與檢定的問題〉《經濟論文叢刊》 24:3，339-355。
     陳松男 (1998) 〈財務經濟學〉。
     廖四郎 (1998) 〈從Black - Scholes模型分析論數理財務模之發展〉《亞太經濟管理評論》第二卷，第一期，97-123。
     Aggarwal, R. and P. Rivoli (1989), "Seasonal and day-of-the-week effect in four emerging stock markets", The Financial Review, 24, 541-550.
     Bachelier, L. (1990), "Theory of Speculation", in Cootner, P.(ed.), The Random Character of Stock Market Prices, Cambridge,MA,1964;Reprint.
     Baillie, R. T. and T. Bollslev, (1990), "A multivariate generalized ARCH approach to model risk premia in forward foreign exchange rate markets", Journal of International Money and Finance, 9, 309-324.
     Berbdt, E. K.,B.H.Hall,R.E. Hall.and J. A. Hausman (1974), "Estimation and inference in non-linear structural models", Annal of Economic and Social Measurement, 3/4, 653-655.
     Bollerslev, T., (1986), "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, 31, 307-327.
     Bollerslev, (1987), "A Condictional Heteroskedastic Time Series Model for Speculative Prices and Rates of Return", Review of Economics and Statistics, 69, 542-547.
     Bollerslev, T., R. F. Engle and J.M. Wooldridge (1988), "A Capital Asset Pricing Model with Time-varying Covariances", Journal of Political Economy, 96, 116-131.
     Bollerslev, T. (1990), "Modelling the Coherence in Short-Run Nominal Exchange Rate:A Multivariate Generalized ARCH Model", Review of Economics and Statistics, 72, 498-505.
     Bollerslev, T., R. Chou, and K. Kroner, (1992), "ARCH Modelling in Finance: A Review of the Theory and Empirical Evidence", Journal of Econometrics, 52, 5-59.
     Brock, W. A., W. D. Dechert, J. A. Scheinkman, and B. LeBaron (1996), "A test for independent based on the correlation dimension", Econometric Review,15(3),197-235.
     Burmeister, E. and K. D. Well (1982), "Kalman Filtering Estimation of Unobserved Rational Expecttation With an Application to the German Hyperinflation", Journal of econometrics, 20.255-284.
     Burns, P. , Engle R. and J. Mezrich (1998), "Correlations and Volatilities of Asynchronous Data", Working paper, University of California.
     Campbell, J., and L. Hentschel (1992), "No News Is Good News : An Asymmertric Model of Changing Volatility in Stock Returns", Journal of Financial Economics, 31, 281-318.
     Campbell, J. Y. and W. L. Andrew and A. C. MacKinlay (1997) "The Econometrics of Financial Market".
     Chan, K., K. C. Chan and G. A. Karolyi (1991), "Intraday Volatility in the Stock Index Futures Markets", The Review of Financial Studies, 4(4), 657-684.
     Chou, R. Y. (1988), "Volatility Persistence and Stock Valuations: Some Empirical Evidence Using GARCH", Journal of Applied Econometrics, 3, 279-294.
     Cornell, B. (1985), "The weekly pattern in stock returns: Cash versus futures", Journal of Finance, 40, 583-588.
     Cross, F. (1973), "The behavior of stock prices on Fridays and Mondays", Finance Analysts Journal, 29, 67-69.
     Denker, M., and G. Keller (1983), "On U-Statistics and von Mises Statistics for Weakly Dependent Processes", Zeitschrift fiir Wahrscheinlichkeitstheorie and verwandte Gebiete, 64, 505-522.
     Engle, R. (1982), "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation", Econometrica, 50, 987-1008.
     Engle, R., D. Lilien, and R. Robins (1987), "Estimating Time-Varying Risk Premia in the Term Structure : The ARCH-M Model", Econometrica, 55, 391-407.
     Engle, R. and G. J. Lee, (1993), "A Permanent and Transitory Component Model of Stock Return Volatility", Manuscript, UCSD.
     Engle, R. and K. Kroner, (1995), "Multivariate Simultaneous Generalized ARCH", Econometric Theory, 11, 122-150.
     Engle, R. and J. Mezrich, (1996), "ARCH for Groups", Risk, August, 9, 8, 36-40.
     Eun, C. S. and B. G. Resnick, (1987) "International diversification under estimation risk: Actual versus potential gain", Recent developments in international banking and finance, 1.
     F. Black (1972), "Capital Market Equilibrium with Restricted Borrowing", Journal of Bunsiness, 45, 444-455.
     Fama, E. (1965), "The Behavior of Stock Market Prices", Journal of Business, 38, 34-105.
     Fama, E. (1970), "Efficient Capital Markets : A Review of Theory and Empirical Work", Journal of Finance, 25, 383-417.
     Fatemi, A. M. and J. Park, (1993), "The linkages between the equity markets of Pacific-Basin countries and those of U.S., U.K., and Japan: A vector autoregressive analysis", Global Financial Journal, 4, 49-64.
     French, K. R. (1980), "Stock returns and the weekend effect", Journal of Financial Economics, 17, 5-26.
     Grassberger, P., and I. Procaccia (1983), "Measuring the Strangeness of Strange Attractors", Physica, 9D, 189.
     Grubel, H. G. (1968), "Internationally Diversification of Investment Portfolios : Welfare Gains and Capital Flows", The American Economic Review, (Dec1968), 1299-1314.
     Hamilton. J. D (1993), "Time Series Analysis".
     Huberman, G, (1982), "A simple Approach to Arbitrage Pricing Theory", Journal of Economics Theory, 13, 183-191.
     Jafe, J., and R. Westerfield, (1985a), "The week-end effect in common stock returns:The international evidence", Journal of Finance, 40, 433-454.
     Jafe, J., and R. Westerfield, (1985b), "Patterns in Japan common stock returns", Journal of Finance and Quantitative Analysis, 20, 267-272.
     Keim, B. D., and R. F. Stambaugh, (1984), "A further investigation of the weekend effect in stock returns", Journal of Finance, 39, 819-840.
     Kroner, K., and V. Ng, (1993), "Modelling the Time Varying Comovement of Asset Return", unpublished paper, University of Arizona and International Monetary Fund.
     Le, S. V. (1991), "International investment diversification before and after the October 19, 1987 stock market crisis", Journal of Business Research, 22,305-310.
     Leroy,S. (1973), "Risk Aversion and the Martingale Property of Stock Returns", International Economic Review,14,436-446.
     Levy, H. and M. Sarnat, (1970), "International Diversification of Investment Portfolios", The American Economic Review, 668-675.
     Lo, A. and A. C. MacKinalay, (1990), "An Econometric Analysis of Nonsynchronous Tradind", Journal of Econometrics, 40, 203-238.
     Lucas,R.,Jr (1978), "Assect Prices in an Exchange Economy",Econometrica,46,1429-1446.
     MacKinlay, A. C., and K. Ramaswamy, (1988), "Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices", Review of Financial Studies, 1, 137-158.
     Makridakis, S. G. and S. C. Wheelwright (1974), "An Analysis of the Interrelationships among the Major World Stock Exchanges", Journal of Business Finance and Accounting (Summer 1974), 195-215.
     Markowitz,H. (1952), "Portfolio Selection", Journal of Finance, 7, 77-91.
     Markowitz,H. (1959), "Portfolio Selection : Effective Diversification of Investment", New York, NY: Wiley Inc.
     Nelson, D., (1990), "Stationarity and Persistence in the GARCH(1,1) Model", Econometric Theory, 6, 318-334.
     Nelson, D., (1991), "Conditional Heteroskedasticity in Asset Return: A New Approach", Econometrica, 59, 347-370.
     Nelson, D., (1996), "Asymptotically Optimal Smoothing with ARCH Models", Econometrica, 64, 561-573.
     Nelson, D. and D. Foster (1994), "Asymptotic Filtering Theory for Univariate ARCH Models", Econometrica, 62, 1-41.
     Pagan, A., and G. Schwert, (1990), "Alternative Models for Conditional Stock Volatility", Journal of Econometrics, 45, 267-290.
     Rogalski,R.J., (1984), "New finding regarding day-of-the-week return over trading and mom-trading periods;A note",Journal of Finance,39,1603-1614.
     Ross, S. (1976), "The Arbitrage Theory of Capital Asset Pricing", Journal of Economic Theory , 13, 341-360.
     Schwartz, R.A., (1988), "Equity markets: Structure, trading and performance", (Harper and Row, New York).
     Sharpe, W. (1964), "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk", Journal of Finance, 19, 425-442.
     Snedecor, G.W., and W. G. Cochran, (1976), statistical methods.
     Solnik, B. (1974), "Why Not Diversity Internationally Rather Then Domestically ?", Financial Analysts Journal, 30, 48-54.
     Solnik, B. "International Investment" 3rd ed.
     Schwartz,R.a.,(1988), "Equity markets: Structure, trading and performance",Haper and Row,New York.
     Scholes, M. and J. Williams, (1977), "Estimateing Betas from Nonsynchronous Data", Journal of Financial Economics, 5, 309-328.
     Sharpe, W. F. (1964) "Capital Asset Price:A Theory of Market Equilibrium Under Conditions of Risks", Journal of Finance, 19, 425-442.
     Tang, G. Y. N., (1994), "Diversification and intervaling effect: An empirical study on interaction", The Review of Bussiness Studies, 3, 67-88.
     Tang, G. Y. N. and K. Kwok, (1997), "Day of the Week Effect in International Portfolio Diversification : January vs Non-January", Japan and the World Economy, 9, 335-352.
     Wei, K. C. J., Y. J. Liu, C. C. Yang and G. S. Chaung, (1995), "Volatility and price change spillover effects across the developed and emerging markets", Pacific Basin Finance Journal, 3, 113-136.
     Yadav, P. K. and P. F. Pope, (1992), "Intraweek and intraday seasonalities in stock market risk premia: Cash and Futures", Journal of Banking and Finance, 16, 233-270.
描述 碩士
國立政治大學
經濟學系
86258008
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002001633
資料類型 thesis
dc.contributor.advisor 毛維凌zh_TW
dc.contributor.author (Authors) 鄭敦仁zh_TW
dc.creator (作者) 鄭敦仁zh_TW
dc.date (日期) 1998en_US
dc.date.accessioned 27-Apr-2016 11:12:38 (UTC+8)-
dc.date.available 27-Apr-2016 11:12:38 (UTC+8)-
dc.date.issued (上傳時間) 27-Apr-2016 11:12:38 (UTC+8)-
dc.identifier (Other Identifiers) B2002001633en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/86208-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 經濟學系zh_TW
dc.description (描述) 86258008zh_TW
dc.description.abstract (摘要) 自從Engle（1982）觀察金融資產報酬序列具有波動叢聚的現象，進而提出自迴歸條件變異數異質（Autoregressive Conditional Heteroskedasticity）模型後，解決了傳統的時間序列模型如自我迴歸移動平均（Autoregressive Moving Average；簡稱ARMA）模型在財務金融的實證研究上對變異數異質（Heteroskedasticity）的現象不能做有效解釋的問題後。陸續的延申模型如Bollerslev（1986）一般化自我迴歸條件異質變異（General Autoregressive Conditional Heteroskedasticity；簡稱GARCH）模型、Chou（1988）的GARCH - M（General Autoregressive Conditional Heteroskedasticity in Mean；簡稱GARCH - M）模型，已廣泛的應用於分析股票市場股價持續波動的問題上。zh_TW
dc.description.tableofcontents 第壹章 緒論…………………………………………………………………………………..…1
     第貳章 文獻回顧……………………………………………………………………………..…3
     第壹節 市場效率假說…………………………………………………………..…5
     第貳節 隨機漫步假設……………………………………………………………8
     一、 隨機漫步模型分類…………………………………………………8
     二、 平賭模型……………………………………………………………9
     三、 隨機漫步模型Ⅰ、Ⅱ、Ⅲ…………………………………………....11
     四、 BDS檢定…………………………………………………………...12
     五、 本節結語…………………………………………………………....16
     第參節 市場均衡模型…………………………………………………………....17
     一、 理論模型……………………………………………………………17
     二、 本節結語……………………………………………………………20
     第肆節 實證文獻………………………………………………………………21
     一、 國際投資組合分析…………………………………………………21
     二、 多變數GARCH模型應用…………………………………………25
     三、 非同步資料分析……………………………………………………29
     四、 本節結語…………………………………………………………40
     第參章 實證模型………………………………………………………………………….41
     第壹節 報酬率之計算……………………………………………………………41
     第貳節 研究方法…………………………………………………………………42
     一、 單變數的ARCH模型………………………………………………43
     二、 單變數的GARCH模型………………………………………..46
     三、 單變數的GARCH - M模型………………………………………49
     四、 單變數的IGARCH模型……………………………………………51
     五、 單變數的EGARCH模型…………………………………………52
     六、 多變數的GARCH模型…………………………………………….55
     七、 本節結語……………………………………………………………59
     第參節 Kalman Filter…………………………………………………………60
     一、 以狀態空間表示的動態系統………………………………………60
     二、 Kalman濾波器之理論推導………………………………………62
     三、 Kalman濾波器的參數估計………………………………………67
     第肆章 實證結果分析………………………………………………………………………69
     第壹節 資料基本性質分析……………………………………………………70
     第貳節 國際投資組合分析……………………………………………………76
     第參節 時間數列分析…………………………………………………………85
     第伍章 結論…………………………………………………………………………………101
     參考文獻…………………………………………………………………………………………..103
     附錄………………………………………………………………………………………………..109		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002001633en_US
dc.subject (關鍵詞) 多變數自迴歸條件變異數異質模型zh_TW
dc.subject (關鍵詞) multivariable garch modelen_US
dc.title (題名) 財務市場之計量分析--以台灣、美國、日本市場為例zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 林建甫和張焯然 (1996) 〈ARCH族模型估計與檢定的問題〉《經濟論文叢刊》 24:3，339-355。
     陳松男 (1998) 〈財務經濟學〉。
     廖四郎 (1998) 〈從Black - Scholes模型分析論數理財務模之發展〉《亞太經濟管理評論》第二卷，第一期，97-123。
     Aggarwal, R. and P. Rivoli (1989), "Seasonal and day-of-the-week effect in four emerging stock markets", The Financial Review, 24, 541-550.
     Bachelier, L. (1990), "Theory of Speculation", in Cootner, P.(ed.), The Random Character of Stock Market Prices, Cambridge,MA,1964;Reprint.
     Baillie, R. T. and T. Bollslev, (1990), "A multivariate generalized ARCH approach to model risk premia in forward foreign exchange rate markets", Journal of International Money and Finance, 9, 309-324.
     Berbdt, E. K.,B.H.Hall,R.E. Hall.and J. A. Hausman (1974), "Estimation and inference in non-linear structural models", Annal of Economic and Social Measurement, 3/4, 653-655.
     Bollerslev, T., (1986), "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, 31, 307-327.
     Bollerslev, (1987), "A Condictional Heteroskedastic Time Series Model for Speculative Prices and Rates of Return", Review of Economics and Statistics, 69, 542-547.
     Bollerslev, T., R. F. Engle and J.M. Wooldridge (1988), "A Capital Asset Pricing Model with Time-varying Covariances", Journal of Political Economy, 96, 116-131.
     Bollerslev, T. (1990), "Modelling the Coherence in Short-Run Nominal Exchange Rate:A Multivariate Generalized ARCH Model", Review of Economics and Statistics, 72, 498-505.
     Bollerslev, T., R. Chou, and K. Kroner, (1992), "ARCH Modelling in Finance: A Review of the Theory and Empirical Evidence", Journal of Econometrics, 52, 5-59.
     Brock, W. A., W. D. Dechert, J. A. Scheinkman, and B. LeBaron (1996), "A test for independent based on the correlation dimension", Econometric Review,15(3),197-235.
     Burmeister, E. and K. D. Well (1982), "Kalman Filtering Estimation of Unobserved Rational Expecttation With an Application to the German Hyperinflation", Journal of econometrics, 20.255-284.
     Burns, P. , Engle R. and J. Mezrich (1998), "Correlations and Volatilities of Asynchronous Data", Working paper, University of California.
     Campbell, J., and L. Hentschel (1992), "No News Is Good News : An Asymmertric Model of Changing Volatility in Stock Returns", Journal of Financial Economics, 31, 281-318.
     Campbell, J. Y. and W. L. Andrew and A. C. MacKinlay (1997) "The Econometrics of Financial Market".
     Chan, K., K. C. Chan and G. A. Karolyi (1991), "Intraday Volatility in the Stock Index Futures Markets", The Review of Financial Studies, 4(4), 657-684.
     Chou, R. Y. (1988), "Volatility Persistence and Stock Valuations: Some Empirical Evidence Using GARCH", Journal of Applied Econometrics, 3, 279-294.
     Cornell, B. (1985), "The weekly pattern in stock returns: Cash versus futures", Journal of Finance, 40, 583-588.
     Cross, F. (1973), "The behavior of stock prices on Fridays and Mondays", Finance Analysts Journal, 29, 67-69.
     Denker, M., and G. Keller (1983), "On U-Statistics and von Mises Statistics for Weakly Dependent Processes", Zeitschrift fiir Wahrscheinlichkeitstheorie and verwandte Gebiete, 64, 505-522.
     Engle, R. (1982), "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation", Econometrica, 50, 987-1008.
     Engle, R., D. Lilien, and R. Robins (1987), "Estimating Time-Varying Risk Premia in the Term Structure : The ARCH-M Model", Econometrica, 55, 391-407.
     Engle, R. and G. J. Lee, (1993), "A Permanent and Transitory Component Model of Stock Return Volatility", Manuscript, UCSD.
     Engle, R. and K. Kroner, (1995), "Multivariate Simultaneous Generalized ARCH", Econometric Theory, 11, 122-150.
     Engle, R. and J. Mezrich, (1996), "ARCH for Groups", Risk, August, 9, 8, 36-40.
     Eun, C. S. and B. G. Resnick, (1987) "International diversification under estimation risk: Actual versus potential gain", Recent developments in international banking and finance, 1.
     F. Black (1972), "Capital Market Equilibrium with Restricted Borrowing", Journal of Bunsiness, 45, 444-455.
     Fama, E. (1965), "The Behavior of Stock Market Prices", Journal of Business, 38, 34-105.
     Fama, E. (1970), "Efficient Capital Markets : A Review of Theory and Empirical Work", Journal of Finance, 25, 383-417.
     Fatemi, A. M. and J. Park, (1993), "The linkages between the equity markets of Pacific-Basin countries and those of U.S., U.K., and Japan: A vector autoregressive analysis", Global Financial Journal, 4, 49-64.
     French, K. R. (1980), "Stock returns and the weekend effect", Journal of Financial Economics, 17, 5-26.
     Grassberger, P., and I. Procaccia (1983), "Measuring the Strangeness of Strange Attractors", Physica, 9D, 189.
     Grubel, H. G. (1968), "Internationally Diversification of Investment Portfolios : Welfare Gains and Capital Flows", The American Economic Review, (Dec1968), 1299-1314.
     Hamilton. J. D (1993), "Time Series Analysis".
     Huberman, G, (1982), "A simple Approach to Arbitrage Pricing Theory", Journal of Economics Theory, 13, 183-191.
     Jafe, J., and R. Westerfield, (1985a), "The week-end effect in common stock returns:The international evidence", Journal of Finance, 40, 433-454.
     Jafe, J., and R. Westerfield, (1985b), "Patterns in Japan common stock returns", Journal of Finance and Quantitative Analysis, 20, 267-272.
     Keim, B. D., and R. F. Stambaugh, (1984), "A further investigation of the weekend effect in stock returns", Journal of Finance, 39, 819-840.
     Kroner, K., and V. Ng, (1993), "Modelling the Time Varying Comovement of Asset Return", unpublished paper, University of Arizona and International Monetary Fund.
     Le, S. V. (1991), "International investment diversification before and after the October 19, 1987 stock market crisis", Journal of Business Research, 22,305-310.
     Leroy,S. (1973), "Risk Aversion and the Martingale Property of Stock Returns", International Economic Review,14,436-446.
     Levy, H. and M. Sarnat, (1970), "International Diversification of Investment Portfolios", The American Economic Review, 668-675.
     Lo, A. and A. C. MacKinalay, (1990), "An Econometric Analysis of Nonsynchronous Tradind", Journal of Econometrics, 40, 203-238.
     Lucas,R.,Jr (1978), "Assect Prices in an Exchange Economy",Econometrica,46,1429-1446.
     MacKinlay, A. C., and K. Ramaswamy, (1988), "Index-Futures Arbitrage and the Behavior of Stock Index Futures Prices", Review of Financial Studies, 1, 137-158.
     Makridakis, S. G. and S. C. Wheelwright (1974), "An Analysis of the Interrelationships among the Major World Stock Exchanges", Journal of Business Finance and Accounting (Summer 1974), 195-215.
     Markowitz,H. (1952), "Portfolio Selection", Journal of Finance, 7, 77-91.
     Markowitz,H. (1959), "Portfolio Selection : Effective Diversification of Investment", New York, NY: Wiley Inc.
     Nelson, D., (1990), "Stationarity and Persistence in the GARCH(1,1) Model", Econometric Theory, 6, 318-334.
     Nelson, D., (1991), "Conditional Heteroskedasticity in Asset Return: A New Approach", Econometrica, 59, 347-370.
     Nelson, D., (1996), "Asymptotically Optimal Smoothing with ARCH Models", Econometrica, 64, 561-573.
     Nelson, D. and D. Foster (1994), "Asymptotic Filtering Theory for Univariate ARCH Models", Econometrica, 62, 1-41.
     Pagan, A., and G. Schwert, (1990), "Alternative Models for Conditional Stock Volatility", Journal of Econometrics, 45, 267-290.
     Rogalski,R.J., (1984), "New finding regarding day-of-the-week return over trading and mom-trading periods;A note",Journal of Finance,39,1603-1614.
     Ross, S. (1976), "The Arbitrage Theory of Capital Asset Pricing", Journal of Economic Theory , 13, 341-360.
     Schwartz, R.A., (1988), "Equity markets: Structure, trading and performance", (Harper and Row, New York).
     Sharpe, W. (1964), "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk", Journal of Finance, 19, 425-442.
     Snedecor, G.W., and W. G. Cochran, (1976), statistical methods.
     Solnik, B. (1974), "Why Not Diversity Internationally Rather Then Domestically ?", Financial Analysts Journal, 30, 48-54.
     Solnik, B. "International Investment" 3rd ed.
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