| dc.contributor.advisor | 吳柏林 | zh_TW |
| dc.contributor.author (Authors) | 林士貴 | zh_TW |
| dc.creator (作者) | 林士貴 | zh_TW |
| dc.date (日期) | 1996 | en_US |
| dc.date.accessioned | 28-Apr-2016 15:58:46 (UTC+8) | - |
| dc.date.available | 28-Apr-2016 15:58:46 (UTC+8) | - |
| dc.date.issued (上傳時間) | 28-Apr-2016 15:58:46 (UTC+8) | - |
| dc.identifier (Other Identifiers) | B2002002412 | en_US |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/87718 | - |
| dc.description (描述) | 碩士 | zh_TW |
| dc.description (描述) | 國立政治大學 | zh_TW |
| dc.description (描述) | 統計學系 | zh_TW |
| dc.description (描述) | 84354010 | zh_TW |
| dc.description.abstract (摘要) | ARCH在財務分析近來頗受重視，然而實務在建構ARCH模式時參數估計值很難有效估計，而且參數數字本身亦常存在不確定性，其原因可能來自時間數列資料的模糊的性質。利用此一假性的數值來建構模式影響預測，也可能擴大預測結果和實際狀況的誤差，很難讓一般投資者使用並判斷。本文在建構ARCH模式中，加入模糊邏輯概念，以符合實際情況在建構ARCH模式時參數動態的不確定性。嘗試以模糊數的來建構股價加權指數FUZZY ARCH模式，進一步預測，並與ARCH模式作比較分析。 | zh_TW |
| dc.description.abstract (摘要) | ARCH is more emphasized in financial analysis recently. However, it is difficult to estimate the parameters of ARCH model in practice. Because of the fuzzy property in time series , there exists the uncertainty in the parameters. Use the fictitious value to construct model and forecast the model will make the errors largely between the forecasts and the practical ones. In this thesis, we add the concept of the fuzzy logic to construct the ARCH model in order to conform the real situation. Also, an analysis of the stock data is provided. | en_US |
| dc.description.tableofcontents | 壹、前言-----1 貳、FUZZY ARCH Model的建立-----5 2.1 ARCH的起源及定義-----5 2.2 FUZZY ARCH Model的定義-----8 參、模擬分析-----11 3.1 模擬三種模式資料200筆-----11 3.2 三種模式之特性-----15 3.3 建構模式與預測並比較-----16 肆、實證分析-----27 4.1 FUZZY ARCH(1)模式建構-----27 4.2 FUZZY ARCH(1)預測方法-----31 伍、結論-----35 參考文獻-----38 | zh_TW |
| dc.source.uri (資料來源) | http://thesis.lib.nccu.edu.tw/record/#B2002002412 | en_US |
| dc.subject (關鍵詞) | 模糊數 | zh_TW |
| dc.subject (關鍵詞) | FUZZY ARCH模式 | zh_TW |
| dc.subject (關鍵詞) | Fuzzy number | en_US |
| dc.subject (關鍵詞) | FUZZY ARCH model | en_US |
| dc.subject (關鍵詞) | ARCH | en_US |
| dc.title (題名) | FUZZY ARCH模式的建構與預測：以台灣加權指數為例 | zh_TW |
| dc.title (題名) | Construct FUZZY ARCH model and Forecast | en_US |
| dc.type (資料類型) | thesis | en_US |
