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題名 臺灣股票市場之結構變動與GARCH檢定之探討
作者 張柏彥
Zhang, Bo Yan
貢獻者 毛維凌
Mao, Wei Ling
張柏彥
Zhang, Bo Yan
關鍵詞 商業
經濟
台灣股票市場
結構變動
GARCH檢定
BUSINESS
ECONOMICS
日期 1995
上傳時間 29-Apr-2016 09:57:10 (UTC+8)
摘要 本論文運用CUSUM、CUSUMSQ與虛擬變數探討台灣股票市場的結構性改變，與各種GARCH模型對台灣股票市場報酬加以解釋。實證結果如下：
參考文獻 一、中文部份:
     沈中華、魏文忠( 1995) ，"物價膨脹不確定性對產出的影響一雙
     變量GARCH-M模型"台大經濟論叢。
     林建甫( 1994) ，"結構性改變的GARCH模型"行政院國家科學委
     員會專題研究計畫成果報告。
     郭祥兆、韓宜芬(1994) ，"台灣加權股價指數非線型與混沌現
     象之研究"管理科學學報pp.49-69。
     
     二、英文部份:
     Amsler,C. and J. Lee,(1995)"An LM Test for a United" Root In
     the Presence of a Structure Change "Econometric Theory
     359-386 .
     Andrew,H. and S. Neil. (1993)"Structure Time Series Models"
     Handbook of Statistics, Vol 11,261-302 .
     Andrews,D.W.K.(1993)"Tests for Parameter Instability and
     Structural Change with Unknown Change Point ,"onometrica ,Vol
     61 No.4 ,821-856 .
     Ball,C. and Torous ,W (1985), On Jumps in Stock Prices and
     their Impack on Call Option Pricing, Journal of Finance, 40
     155-173.
     Baillie,R.T. and T. Bollerslev,(1989)"The Message in daily
     Exchange Rates: A Conditional Variance Rate, " Journal of
     Business and Economics Statistics 7,297-305.
     Baillie,R. T. and T. Bollerslev, (1990) " A Multivariate
     Generalized ARCH Approach to Modeling Risk Premia in Foreign
     Rate Markets,"Journal of International Money and Finance 9,
     309-324.
     Bauer, Rob M.M.J. , Frederick G.M.C. Nieuwland and Willem
     F.C.Verschoor(1994) "German Stock Market Dynamics,"Empirical
     Economics 19 : 397-418 .
     Beckers, S. (1981)," A Note on Estimating the Parameters of
     the Diffusion-Jump Model of Stock Returns" , Journal of
     Financial and Quantitative Analysis,16 127-140 .
     Bera, A.K., M.H. Higgins, and S. Lee (1991)" Interaction
     between Autocorrlation and Conditional Hetroskedasticity: A
     Random Coefficient Approach ,"Department of Econolnics ,
     University of Hinois , Champaign ,IL .
     Blake L. (1993)"The Joint Dynamics and Stability of Stock
     Prices and Volume,"University of Wisconsin - Madison.
     Berndt, E.K. ,B. H. Hall, R.E. Hall, and J.A. Hausman.(1974)
     "Estimation and Inference in Nonlinear Structure Models."
     Annals of Economic and Social Measurement 3:653-65 .
     Bollerslev,T.(1986), "Generalized Autoregressive Conditional
     Hetroskedasticity ,"Journal of Econometrics,31, 307-327.
     Bollerslev,T.(1987),"A Conditionally Hetroskedastic Time
     Series Model for Speculative Prices and Rates of Return, "The
     Review of Economics and Statistics,69,543-547 .
     Bollerslev,T ., R.F.Engle and J.M. Wooldridge(1988)" A Capital
     Assert Pricing Model with Time Varying Covariance. " Journal of
     Political Economy,96,116-131.
     Bollerslev,T. (1990)" Modelling the Coherence in the Short-run
     Nominal Exchange Rate: A Multivariate Generalized ARCH
     Approach. " The Review of Economics and Statistics,72, 498-505.
     Bollerslev,T. , R. Y. Chou and ,K.F. Kroner(1992) "ARCH
     Modeling Finance - A Review of the Theory and Empirical
     Evidence, " Journal of Econometrics 52 5-59 .
     Brown, R.D. ,Durbin J. ,and Evans,J.M. (1975),"Techniques for
     Testing the Constancy of Regression Relationships Over Time,"
     Journal of the Royal Statistical Society,Ser B,37, 149-163.
     Chong, T. T. (1995)"Partial Parameter Consistency in a
     Misspecified Structural Change Model ,"Economics letters 49
     351-357.
     Chow.G. (1960) ? Tests of Equality between Sets of
     Coefficients in Two Linear Regressions,"Econometrica,28.531-534.
     Chu,Chia-Shang James(1995)"Detecting Parameter Shift in GARCH
     Models,"Econometric Reviews, 14(2) 241-266 .
     Durbin,J.(1969),"Tests for Series Correlation in Regression
     "Analysis Based on the Periodogram of Least-Square Residuals.
     Biometrika, 56.1-15.
     Drost. F.C. and T. E.Nijman (1993) ,"Temporal Aggregation of
     GARCH Processes ," Econometric Reviews, 11 143-172.
     Drost.F.C. and Werker,B.J.M.(1994),"Closing the GARCH Gap:
     Continous Time GARCH Modeling ." Journal of Econometrics,
     Forthcoming .
     Drost, F.C. , Theo E. Nijman, and Bas J.M. Werker (1994)
     "Estimation and Testing in Models Containing Both Jumps and
     Conditional Heteroskedasticity." Tilburg University.
     Engle,R.F.(1982), "Autoregressive Conditional
     Hetroscedasticity with Estimates of the Variance of United
     Kingdom Inflation ,"Econometrica, 50 , 987-1007.
     Engle ,R.F. and Bollerslev,T.(1986),"Modelling the Persistence
     of Conditional Variance,"Ecomometric Review, 5,1-50.
     Engle ,R.F;Lilin, D.M. ;and Robins, R.P.(1987),"Estimating Time
     Varying Risk in Term Structure: The ARCH-M Model,
     "Econometrica ,55,391-407.
     Edgerton ,David and Curt Wells,(1994) "Critical Value for The CUSUMSQ
     Atatistic in Medium and Large Sized" Oxford Bulletin of Economics and
     Statistic ,56.3 p355-p365 .
     Fama, E.F. (1965)," The Behavior of Stock Market Prices, " Journal of
     Business 38, 34-105.
     Fisher F.M.(1970) Tests of Equality between Sets of Coefficients in
     Two Linear Regressions: an Expository Note. Econmoetrica 38:361-366.
     Gallant, A.R. ,P.E. Rossi and G. Tauchen,(1990)"Stock Price and
     Volume,"Department of Economics ,Duke University, Durham,NC.
     Geweke,J.(1989b)"Bayesian Inference in Econometric Models Using
     Monte Carlo Integration ," Econometrica 57 ,1317-1339.
     Glosten ,L.R. ,R.Jagannathan, and D. Runkle (1989)" Relationship
     between the Expected Value and the Volatility of the Nominal Excess
     Return on Stocks. "Northwestern University. Mimeo.
     Gourieroux,Christian and Monfort lain (1995) " Testing,
     Encompassing,and Simulating Dynamic Econometric Models,"
     Econometric Theory,2,195-22S.
     Gregory, A.W.,(19S9),"A Non-parametric Test for Autoregressive
     conditional Hetroskedasticity : A Markov Chain Approach ,"
     Journal of Business and Economic Statistics 7, 107-115.
     Hamilton, James D (1993)"Estimation , Inference and Forecasting
     of Time Series Subject to Changs in Regime"Handbook of
     Statistics ,Vol.11 231-259.
     Hamilton, James D (1994) "Time Series Analysis".pp657-676.
     Hsieh,D. A. (19S9)"Testing for Nonlinear Dependence in Daily
     Foreign Exchange Rate Changes," Journal of Business 62.339-36S.
     Incan ,Carla and Geroge C. Tiao `Use of Cumulative Sums of Square
     for Retrospective Detection of Changes of Variance` Journal of the
     American Statistical Association,1994,Vol. 89, No. 427 P913-923.
     Jorion ,P.(1988)," On Jump Processess in the Foreign Exchange
     and Stock Markets," The Review of Financial Studies,l 427-445.
     Kraft, D.F. and R.F. Engle (19S3)"Autoregressive Conditional
     Heteroskedasticity in Multiple Time Series,"Department of
     Economics ,Uinversity of California, San Diego, CA .
     Kutan,Ali M.(1995) "Fractional cointegration,Conditional
     Heteroskedasticity and Exchange Rate Dynamics :Evidence from
     Reforming Eastern European Exchange Rates ," Economics
     System,Vol.19 No.1 1-23 .
     Lamoureux,Christopher and William D.Lastrapes(1990) "Persistence
     in Variance, Structure Change, and the GARCH Model," Journal of
     Business and Economic Statistics,Vol 8 No.2,225-235.
     Lamoureux, W. and C. G.Lamoureux (1990) "Heteroskedasticity in
     Stock Return Data: Volumevers GARCH Effects," The Journal of
     Finance Vol.14 No.1 221-229.
     Lin,C. J. and T.Terasvirta, (1994)"Testing the Constancy of
     Regression Parameters against Continuous Structure Change,"
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     Linton ,O.(1993)"Adaptive Estimation in ARCH Models,"
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     a Garch-Stable Model." Journal of Applied Econometrics, Vol .10,
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     Ljung, G.M. and G.E.P. Box ,(1978),"on a Measure of lag of Fit
     Time Series Models," Biometrika 67, 297-303.
     MacKinnon J.G.(19S9)"Heteroskedasticity-Robuest Test for
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     Series Model Using Squared-Residual Autocorrelations." Journal
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     Milh ∮ j, A. (987)" A Multiplicative Parameterization of ARCH
     Model , "Department of Statistics , University of Copenhagen
     Nelson,D.B. (1990) ,"ARCH Models as Diffusion Approximation,"
     Journal of Econometrics, 45 7-38.
     Nelson,D.B.(1990)"Stationarity and Persistence in GARCH(1,1)
     Model."Econometric Theory 6:318-34.
     Nelson,D.B. and C.Q.Cao (1992),"Inequality Constraints In the
     Univariate GARCH Model," Journal of Business & Economic
     Statistics,10,229-235.
     Pagan ,A.R. and Y.S. Hong (1990)"Non-Parametric Estimation and
     the Risk Premium,"Cambridge University Press.
     Pantula,S.G. ,(1985)" Estimation of Autoregressive Models with
     ARCH Errors," Unpublished Manuscript ( Department of Statistics,
     North Carolina State University ,Raleigh, NC).
     Pesaran,B. and H.M. Pesaran (1995)"A Non-Nested Test of Level Differenced
     Stationary Models,"Econometric Reviews,14(2), 213-227.
     Rich,R.W., J.Raymond , and J.S. Butler, (1991) "The Relationship
     Between Forcast Description and Forcast Uncertainty: Evidance
     from a Survey Data-ARCH Model," Vanderbilt University ,Nashville,TN .
     Robinson ,P.M. ,(1991) " Testing for Strong Serial Correlation
     and Dynamic Conditional Hetroskedasticity in Multiple Regression,
     "Journal of Econometrics 47,67-84.
     Shen and Chiang ,(1996) "Foreign Exchange Risk Premium and
     Volati1ity of Market Fundamental" 國立中山大學證?及資本研討會第三屆。
     Simonato,J.(1992)"Estimation of Garch Process in the
     Presence of Structural Chang."Economics Letters 40 155-158.
     Vlaar,P.J.G. and Palm, F.C. (1993)," The Message in Weekly
     Exchange Rates in the European Monetary System : Mean Reversion ,
     Conditional Hetroskedasticity and Jumps ,"Journal of Business
     and Economic Statistics,11 351-360.
     West,K. D.and D. Cho (1995)"The Predictive Ability of Several
     Models of Exchange Rate Volatility,"Journal of Econometrics, 69
     367-391 .
     White H.(1980) A Hetroskedasticity-Consistent Covariance Matrix
     Estimator and a Direct test for Hetroskedasticity. Econometrica
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描述 碩士
國立政治大學
經濟學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002003030
資料類型 thesis
dc.contributor.advisor 毛維凌zh_TW
dc.contributor.advisor Mao, Wei Lingen_US
dc.contributor.author (Authors) 張柏彥zh_TW
dc.contributor.author (Authors) Zhang, Bo Yanen_US
dc.creator (作者) 張柏彥zh_TW
dc.creator (作者) Zhang, Bo Yanen_US
dc.date (日期) 1995en_US
dc.date.accessioned 29-Apr-2016 09:57:10 (UTC+8)-
dc.date.available 29-Apr-2016 09:57:10 (UTC+8)-
dc.date.issued (上傳時間) 29-Apr-2016 09:57:10 (UTC+8)-
dc.identifier (Other Identifiers) B2002003030en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/88072-
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.abstract (摘要) 本論文運用CUSUM、CUSUMSQ與虛擬變數探討台灣股票市場的結構性改變，與各種GARCH模型對台灣股票市場報酬加以解釋。實證結果如下：zh_TW
dc.description.tableofcontents 第一章:緒論
     第一節:研究動機與目的..........1
     第二節:研究的步驟..........1
     第三節:論文架構..........2
     第二章:結構性改變檢測方式
     第一節:Chow Test..........4
     第二節:F檢定的後序發展..........5
     第三節:Cusum與Cusumsq檢定..........9
     第三章:ARCH族模型介紹
     第一節: ARCH模型起源與估計..........13
     第二節: ARCH效果檢定..........16
     第三節: 線性的GARCH模型..........18
     第四節:非常態條件下的ARCH模型..........19
     第五節:非線性與無母數的 GARCH模型..........21
     第六節:ARCH-in-Mean模型..........23
     第七節: GARCH模型變異數的穩定性..........24
     第八節: GARCH模型包含跳動點(Jumps)的檢測..........25
     第九節:多變量的ARCH模型..........28
     第十節: GARCH模型的結構性改變..........30
     第四章:結構性變動之實證分析
     第一節:資料基本概述..........32
     第二節:CUSUM與CUSUMSQ檢定..........38
     第三節:Dummy variable檢定結構性改變..........43
     第五章: GARCH模型的檢定與估計
     第一節: GARCH效果檢定..........45
     第二節: GARCH模型之估計..........48
     第六章:評估與總結
     第一節:結論與未來研究方向..........70
     附錄一、CUSUM與CUSUMSQ檢定與虛擬變數檢定結果..........75
     附錄二、GARCH模型之殘差檢定..........97
     參考書文獻..........98		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002003030en_US
dc.subject (關鍵詞) 商業zh_TW
dc.subject (關鍵詞) 經濟zh_TW
dc.subject (關鍵詞) 台灣股票市場zh_TW
dc.subject (關鍵詞) 結構變動zh_TW
dc.subject (關鍵詞) GARCH檢定zh_TW
dc.subject (關鍵詞) BUSINESSen_US
dc.subject (關鍵詞) ECONOMICSen_US
dc.title (題名) 臺灣股票市場之結構變動與GARCH檢定之探討zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 一、中文部份:
     沈中華、魏文忠( 1995) ，"物價膨脹不確定性對產出的影響一雙
     變量GARCH-M模型"台大經濟論叢。
     林建甫( 1994) ，"結構性改變的GARCH模型"行政院國家科學委
     員會專題研究計畫成果報告。
     郭祥兆、韓宜芬(1994) ，"台灣加權股價指數非線型與混沌現
     象之研究"管理科學學報pp.49-69。
     
     二、英文部份:
     Amsler,C. and J. Lee,(1995)"An LM Test for a United" Root In
     the Presence of a Structure Change "Econometric Theory
     359-386 .
     Andrew,H. and S. Neil. (1993)"Structure Time Series Models"
     Handbook of Statistics, Vol 11,261-302 .
     Andrews,D.W.K.(1993)"Tests for Parameter Instability and
     Structural Change with Unknown Change Point ,"onometrica ,Vol
     61 No.4 ,821-856 .
     Ball,C. and Torous ,W (1985), On Jumps in Stock Prices and
     their Impack on Call Option Pricing, Journal of Finance, 40
     155-173.
     Baillie,R.T. and T. Bollerslev,(1989)"The Message in daily
     Exchange Rates: A Conditional Variance Rate, " Journal of
     Business and Economics Statistics 7,297-305.
     Baillie,R. T. and T. Bollerslev, (1990) " A Multivariate
     Generalized ARCH Approach to Modeling Risk Premia in Foreign
     Rate Markets,"Journal of International Money and Finance 9,
     309-324.
     Bauer, Rob M.M.J. , Frederick G.M.C. Nieuwland and Willem
     F.C.Verschoor(1994) "German Stock Market Dynamics,"Empirical
     Economics 19 : 397-418 .
     Beckers, S. (1981)," A Note on Estimating the Parameters of
     the Diffusion-Jump Model of Stock Returns" , Journal of
     Financial and Quantitative Analysis,16 127-140 .
     Bera, A.K., M.H. Higgins, and S. Lee (1991)" Interaction
     between Autocorrlation and Conditional Hetroskedasticity: A
     Random Coefficient Approach ,"Department of Econolnics ,
     University of Hinois , Champaign ,IL .
     Blake L. (1993)"The Joint Dynamics and Stability of Stock
     Prices and Volume,"University of Wisconsin - Madison.
     Berndt, E.K. ,B. H. Hall, R.E. Hall, and J.A. Hausman.(1974)
     "Estimation and Inference in Nonlinear Structure Models."
     Annals of Economic and Social Measurement 3:653-65 .
     Bollerslev,T.(1986), "Generalized Autoregressive Conditional
     Hetroskedasticity ,"Journal of Econometrics,31, 307-327.
     Bollerslev,T.(1987),"A Conditionally Hetroskedastic Time
     Series Model for Speculative Prices and Rates of Return, "The
     Review of Economics and Statistics,69,543-547 .
     Bollerslev,T ., R.F.Engle and J.M. Wooldridge(1988)" A Capital
     Assert Pricing Model with Time Varying Covariance. " Journal of
     Political Economy,96,116-131.
     Bollerslev,T. (1990)" Modelling the Coherence in the Short-run
     Nominal Exchange Rate: A Multivariate Generalized ARCH
     Approach. " The Review of Economics and Statistics,72, 498-505.
     Bollerslev,T. , R. Y. Chou and ,K.F. Kroner(1992) "ARCH
     Modeling Finance - A Review of the Theory and Empirical
     Evidence, " Journal of Econometrics 52 5-59 .
     Brown, R.D. ,Durbin J. ,and Evans,J.M. (1975),"Techniques for
     Testing the Constancy of Regression Relationships Over Time,"
     Journal of the Royal Statistical Society,Ser B,37, 149-163.
     Chong, T. T. (1995)"Partial Parameter Consistency in a
     Misspecified Structural Change Model ,"Economics letters 49
     351-357.
     Chow.G. (1960) ? Tests of Equality between Sets of
     Coefficients in Two Linear Regressions,"Econometrica,28.531-534.
     Chu,Chia-Shang James(1995)"Detecting Parameter Shift in GARCH
     Models,"Econometric Reviews, 14(2) 241-266 .
     Durbin,J.(1969),"Tests for Series Correlation in Regression
     "Analysis Based on the Periodogram of Least-Square Residuals.
     Biometrika, 56.1-15.
     Drost. F.C. and T. E.Nijman (1993) ,"Temporal Aggregation of
     GARCH Processes ," Econometric Reviews, 11 143-172.
     Drost.F.C. and Werker,B.J.M.(1994),"Closing the GARCH Gap:
     Continous Time GARCH Modeling ." Journal of Econometrics,
     Forthcoming .
     Drost, F.C. , Theo E. Nijman, and Bas J.M. Werker (1994)
     "Estimation and Testing in Models Containing Both Jumps and
     Conditional Heteroskedasticity." Tilburg University.
     Engle,R.F.(1982), "Autoregressive Conditional
     Hetroscedasticity with Estimates of the Variance of United
     Kingdom Inflation ,"Econometrica, 50 , 987-1007.
     Engle ,R.F. and Bollerslev,T.(1986),"Modelling the Persistence
     of Conditional Variance,"Ecomometric Review, 5,1-50.
     Engle ,R.F;Lilin, D.M. ;and Robins, R.P.(1987),"Estimating Time
     Varying Risk in Term Structure: The ARCH-M Model,
     "Econometrica ,55,391-407.
     Edgerton ,David and Curt Wells,(1994) "Critical Value for The CUSUMSQ
     Atatistic in Medium and Large Sized" Oxford Bulletin of Economics and
     Statistic ,56.3 p355-p365 .
     Fama, E.F. (1965)," The Behavior of Stock Market Prices, " Journal of
     Business 38, 34-105.
     Fisher F.M.(1970) Tests of Equality between Sets of Coefficients in
     Two Linear Regressions: an Expository Note. Econmoetrica 38:361-366.
     Gallant, A.R. ,P.E. Rossi and G. Tauchen,(1990)"Stock Price and
     Volume,"Department of Economics ,Duke University, Durham,NC.
     Geweke,J.(1989b)"Bayesian Inference in Econometric Models Using
     Monte Carlo Integration ," Econometrica 57 ,1317-1339.
     Glosten ,L.R. ,R.Jagannathan, and D. Runkle (1989)" Relationship
     between the Expected Value and the Volatility of the Nominal Excess
     Return on Stocks. "Northwestern University. Mimeo.
     Gourieroux,Christian and Monfort lain (1995) " Testing,
     Encompassing,and Simulating Dynamic Econometric Models,"
     Econometric Theory,2,195-22S.
     Gregory, A.W.,(19S9),"A Non-parametric Test for Autoregressive
     conditional Hetroskedasticity : A Markov Chain Approach ,"
     Journal of Business and Economic Statistics 7, 107-115.
     Hamilton, James D (1993)"Estimation , Inference and Forecasting
     of Time Series Subject to Changs in Regime"Handbook of
     Statistics ,Vol.11 231-259.
     Hamilton, James D (1994) "Time Series Analysis".pp657-676.
     Hsieh,D. A. (19S9)"Testing for Nonlinear Dependence in Daily
     Foreign Exchange Rate Changes," Journal of Business 62.339-36S.
     Incan ,Carla and Geroge C. Tiao `Use of Cumulative Sums of Square
     for Retrospective Detection of Changes of Variance` Journal of the
     American Statistical Association,1994,Vol. 89, No. 427 P913-923.
     Jorion ,P.(1988)," On Jump Processess in the Foreign Exchange
     and Stock Markets," The Review of Financial Studies,l 427-445.
     Kraft, D.F. and R.F. Engle (19S3)"Autoregressive Conditional
     Heteroskedasticity in Multiple Time Series,"Department of
     Economics ,Uinversity of California, San Diego, CA .
     Kutan,Ali M.(1995) "Fractional cointegration,Conditional
     Heteroskedasticity and Exchange Rate Dynamics :Evidence from
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