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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:\r\n沈中華、魏文忠( 1995) ，\"物價膨脹不確定性對產出的影響一雙\r\n變量GARCH-M模型\"台大經濟論叢。\r\n林建甫( 1994) ，\"結構性改變的GARCH模型\"行政院國家科學委\r\n員會專題研究計畫成果報告。\r\n郭祥兆、韓宜芬(1994) ，\"台灣加權股價指數非線型與混沌現\r\n象之研究\"管理科學學報pp.49-69。\r\n\r\n二、英文部份:\r\nAmsler,C. and J. Lee,(1995)\"An LM Test for a United\" Root In\r\nthe Presence of a Structure Change \"Econometric Theory\r\n359-386 .\r\nAndrew,H. and S. Neil. (1993)\"Structure Time Series Models\"\r\nHandbook of Statistics, Vol 11,261-302 .\r\nAndrews,D.W.K.(1993)\"Tests for Parameter Instability and\r\nStructural Change with Unknown Change Point ,\"onometrica ,Vol\r\n61 No.4 ,821-856 .\r\nBall,C. and Torous ,W (1985), On Jumps in Stock Prices and\r\ntheir Impack on Call Option Pricing, Journal of Finance, 40\r\n155-173.\r\nBaillie,R.T. and T. Bollerslev,(1989)\"The Message in daily\r\nExchange Rates: A Conditional Variance Rate, \" Journal of\r\nBusiness and Economics Statistics 7,297-305.\r\nBaillie,R. T. and T. Bollerslev, (1990) \" A Multivariate\r\nGeneralized ARCH Approach to Modeling Risk Premia in Foreign\r\nRate Markets,\"Journal of International Money and Finance 9,\r\n309-324.\r\nBauer, Rob M.M.J. , Frederick G.M.C. Nieuwland and Willem\r\nF.C.Verschoor(1994) \"German Stock Market Dynamics,\"Empirical\r\nEconomics 19 : 397-418 .\r\nBeckers, S. (1981),\" A Note on Estimating the Parameters of\r\nthe Diffusion-Jump Model of Stock Returns\" , Journal of\r\nFinancial and Quantitative Analysis,16 127-140 .\r\nBera, A.K., M.H. Higgins, and S. Lee (1991)\" Interaction\r\nbetween Autocorrlation and Conditional Hetroskedasticity: A\r\nRandom Coefficient Approach ,\"Department of Econolnics ,\r\nUniversity of Hinois , Champaign ,IL .\r\nBlake L. (1993)\"The Joint Dynamics and Stability of Stock\r\nPrices and Volume,\"University of Wisconsin - Madison.\r\nBerndt, E.K. ,B. H. Hall, R.E. Hall, and J.A. Hausman.(1974)\r\n\"Estimation and Inference in Nonlinear Structure Models.\"\r\nAnnals of Economic and Social Measurement 3:653-65 .\r\nBollerslev,T.(1986), \"Generalized Autoregressive Conditional\r\nHetroskedasticity ,\"Journal of Econometrics,31, 307-327.\r\nBollerslev,T.(1987),\"A Conditionally Hetroskedastic Time\r\nSeries Model for Speculative Prices and Rates of Return, \"The\r\nReview of Economics and Statistics,69,543-547 .\r\nBollerslev,T ., R.F.Engle and J.M. Wooldridge(1988)\" A Capital\r\nAssert Pricing Model with Time Varying Covariance. \" Journal of\r\nPolitical Economy,96,116-131.\r\nBollerslev,T. (1990)\" Modelling the Coherence in the Short-run\r\nNominal Exchange Rate: A Multivariate Generalized ARCH\r\nApproach. \" The Review of Economics and Statistics,72, 498-505.\r\nBollerslev,T. , R. Y. Chou and ,K.F. Kroner(1992) \"ARCH\r\nModeling Finance - A Review of the Theory and Empirical\r\nEvidence, \" Journal of Econometrics 52 5-59 .\r\nBrown, R.D. ,Durbin J. ,and Evans,J.M. (1975),\"Techniques for\r\nTesting the Constancy of Regression Relationships Over Time,\"\r\nJournal of the Royal Statistical Society,Ser B,37, 149-163.\r\nChong, T. T. (1995)\"Partial Parameter Consistency in a\r\nMisspecified Structural Change Model ,\"Economics letters 49\r\n351-357.\r\nChow.G. (1960) ? Tests of Equality between Sets of\r\nCoefficients in Two Linear Regressions,\"Econometrica,28.531-534.\r\nChu,Chia-Shang James(1995)\"Detecting Parameter Shift in GARCH\r\nModels,\"Econometric Reviews, 14(2) 241-266 .\r\nDurbin,J.(1969),\"Tests for Series Correlation in Regression\r\n\"Analysis Based on the Periodogram of Least-Square Residuals.\r\nBiometrika, 56.1-15.\r\nDrost. F.C. and T. E.Nijman (1993) ,\"Temporal Aggregation of\r\nGARCH Processes ,\" Econometric Reviews, 11 143-172.\r\nDrost.F.C. and Werker,B.J.M.(1994),\"Closing the GARCH Gap:\r\nContinous Time GARCH Modeling .\" Journal of Econometrics,\r\nForthcoming .\r\nDrost, F.C. , Theo E. Nijman, and Bas J.M. Werker (1994)\r\n\"Estimation and Testing in Models Containing Both Jumps and\r\nConditional Heteroskedasticity.\" Tilburg University.\r\nEngle,R.F.(1982), \"Autoregressive Conditional\r\nHetroscedasticity with Estimates of the Variance of United\r\nKingdom Inflation ,\"Econometrica, 50 , 987-1007.\r\nEngle ,R.F. and Bollerslev,T.(1986),\"Modelling the Persistence\r\nof Conditional Variance,\"Ecomometric Review, 5,1-50.\r\nEngle ,R.F;Lilin, D.M. ;and Robins, R.P.(1987),\"Estimating Time\r\nVarying Risk in Term Structure: The ARCH-M Model,\r\n\"Econometrica ,55,391-407.\r\nEdgerton ,David and Curt Wells,(1994) \"Critical Value for The CUSUMSQ\r\nAtatistic in Medium and Large Sized\" Oxford Bulletin of Economics and\r\nStatistic ,56.3 p355-p365 .\r\nFama, E.F. (1965),\" The Behavior of Stock Market Prices, \" Journal of\r\nBusiness 38, 34-105.\r\nFisher F.M.(1970) Tests of Equality between Sets of Coefficients in\r\nTwo Linear Regressions: an Expository Note. Econmoetrica 38:361-366.\r\nGallant, A.R. ,P.E. Rossi and G. Tauchen,(1990)\"Stock Price and\r\nVolume,\"Department of Economics ,Duke University, Durham,NC.\r\nGeweke,J.(1989b)\"Bayesian Inference in Econometric Models Using\r\nMonte Carlo Integration ,\" Econometrica 57 ,1317-1339.\r\nGlosten ,L.R. ,R.Jagannathan, and D. Runkle (1989)\" Relationship\r\nbetween the Expected Value and the Volatility of the Nominal Excess\r\nReturn on Stocks. \"Northwestern University. Mimeo.\r\nGourieroux,Christian and Monfort lain (1995) \" Testing,\r\nEncompassing,and Simulating Dynamic Econometric Models,\"\r\nEconometric Theory,2,195-22S.\r\nGregory, A.W.,(19S9),\"A Non-parametric Test for Autoregressive\r\nconditional Hetroskedasticity : A Markov Chain Approach ,\"\r\nJournal of Business and Economic Statistics 7, 107-115.\r\nHamilton, James D (1993)\"Estimation , Inference and Forecasting\r\nof Time Series Subject to Changs in Regime\"Handbook of\r\nStatistics ,Vol.11 231-259.\r\nHamilton, James D (1994) \"Time Series Analysis\".pp657-676.\r\nHsieh,D. A. (19S9)\"Testing for Nonlinear Dependence in Daily\r\nForeign Exchange Rate Changes,\" Journal of Business 62.339-36S.\r\nIncan ,Carla and Geroge C. Tiao `Use of Cumulative Sums of Square\r\nfor Retrospective Detection of Changes of Variance` Journal of the\r\nAmerican Statistical Association,1994,Vol. 89, No. 427 P913-923.\r\nJorion ,P.(1988),\" On Jump Processess in the Foreign Exchange\r\nand Stock Markets,\" The Review of Financial Studies,l 427-445.\r\nKraft, D.F. and R.F. Engle (19S3)\"Autoregressive Conditional\r\nHeteroskedasticity in Multiple Time Series,\"Department of\r\nEconomics ,Uinversity of California, San Diego, CA .\r\nKutan,Ali M.(1995) \"Fractional cointegration,Conditional\r\nHeteroskedasticity and Exchange Rate Dynamics :Evidence from\r\nReforming Eastern European Exchange Rates ,\" Economics\r\nSystem,Vol.19 No.1 1-23 .\r\nLamoureux,Christopher and William D.Lastrapes(1990) \"Persistence\r\nin Variance, Structure Change, and the GARCH Model,\" Journal of\r\nBusiness and Economic Statistics,Vol 8 No.2,225-235.\r\nLamoureux, W. and C. G.Lamoureux (1990) \"Heteroskedasticity in\r\nStock Return Data: Volumevers GARCH Effects,\" The Journal of\r\nFinance Vol.14 No.1 221-229.\r\nLin,C. J. and T.Terasvirta, (1994)\"Testing the Constancy of\r\nRegression Parameters against Continuous Structure Change,\"\r\nJournal of Econometrics 62,221-228 .\r\nLinton ,O.(1993)\"Adaptive Estimation in ARCH Models,\"\r\nEconometric Theory, 9,539-569 .\r\nLiu,S. ,and B.W. Brorsen (1995)\"Maximum Likelihood Estimation of\r\na Garch-Stable Model.\" Journal of Applied Econometrics, Vol .10,\r\npp 273-285.\r\nLjung, G.M. and G.E.P. Box ,(1978),\"on a Measure of lag of Fit\r\nTime Series Models,\" Biometrika 67, 297-303.\r\nMacKinnon J.G.(19S9)\"Heteroskedasticity-Robuest Test for\r\nStructure Chang \"Empec,Vol 14 77-92\r\n104\r\nMadelbrot ,B . ,(1963) \" The Variation of Certain Speculative\r\nPrices,\" Journal of Business 36, 394-419.\r\nMcleod, A.L. and Li, W.K.(1983)\"Diagnostic Checking ARMA Time\r\nSeries Model Using Squared-Residual Autocorrelations.\" Journal\r\nof Monetary Economics, 10, 139-163.\r\nMilh ∮ j, A. (987)\" A Multiplicative Parameterization of ARCH\r\nModel , \"Department of Statistics , University of Copenhagen\r\nNelson,D.B. (1990) ,\"ARCH Models as Diffusion Approximation,\"\r\nJournal of Econometrics, 45 7-38.\r\nNelson,D.B.(1990)\"Stationarity and Persistence in GARCH(1,1)\r\nModel.\"Econometric Theory 6:318-34.\r\nNelson,D.B. and C.Q.Cao (1992),\"Inequality Constraints In the\r\nUnivariate GARCH Model,\" Journal of Business & Economic\r\nStatistics,10,229-235.\r\nPagan ,A.R. and Y.S. Hong (1990)\"Non-Parametric Estimation and\r\nthe Risk Premium,\"Cambridge University Press.\r\nPantula,S.G. ,(1985)\" Estimation of Autoregressive Models with\r\nARCH Errors,\" Unpublished Manuscript ( Department of Statistics,\r\nNorth Carolina State University ,Raleigh, NC).\r\nPesaran,B. and H.M. Pesaran (1995)\"A Non-Nested Test of Level Differenced\r\nStationary Models,\"Econometric Reviews,14(2), 213-227.\r\nRich,R.W., J.Raymond , and J.S. Butler, (1991) \"The Relationship\r\nBetween Forcast Description and Forcast Uncertainty: Evidance\r\nfrom a Survey Data-ARCH Model,\" Vanderbilt University ,Nashville,TN .\r\nRobinson ,P.M. ,(1991) \" Testing for Strong Serial Correlation\r\nand Dynamic Conditional Hetroskedasticity in Multiple Regression,\r\n\"Journal of Econometrics 47,67-84.\r\nShen and Chiang ,(1996) \"Foreign Exchange Risk Premium and\r\nVolati1ity of Market Fundamental\" 國立中山大學證?及資本研討會第三屆。\r\nSimonato,J.(1992)\"Estimation of Garch Process in the\r\nPresence of Structural Chang.\"Economics Letters 40 155-158.\r\nVlaar,P.J.G. and Palm, F.C. (1993),\" The Message in Weekly\r\nExchange Rates in the European Monetary System : Mean Reversion ,\r\nConditional Hetroskedasticity and Jumps ,\"Journal of Business\r\nand Economic Statistics,11 351-360.\r\nWest,K. D.and D. Cho (1995)\"The Predictive Ability of Several\r\nModels of Exchange Rate Volatility,\"Journal of Econometrics, 69\r\n367-391 .\r\nWhite H.(1980) A Hetroskedasticity-Consistent Covariance Matrix\r\nEstimator and a Direct test for Hetroskedasticity. Econometrica\r\n48:817-838.\r\nYang,S.R. and B.W. Brorsen (1994)\"Daily Futures Price Changes\r\nand Non-Linear Dynamics,\"Structure Change and Economic\r\nDynamics ,Vol.5 111-131 .
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) https://ah.lib.nccu.edu.tw/item?item_id=99915-
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\r\n第一節:研究動機與目的..........1\r\n第二節:研究的步驟..........1\r\n第三節:論文架構..........2\r\n第二章:結構性改變檢測方式\r\n第一節:Chow Test..........4\r\n第二節:F檢定的後序發展..........5\r\n第三節:Cusum與Cusumsq檢定..........9\r\n第三章:ARCH族模型介紹\r\n第一節: ARCH模型起源與估計..........13\r\n第二節: ARCH效果檢定..........16\r\n第三節: 線性的GARCH模型..........18\r\n第四節:非常態條件下的ARCH模型..........19\r\n第五節:非線性與無母數的 GARCH模型..........21\r\n第六節:ARCH-in-Mean模型..........23\r\n第七節: GARCH模型變異數的穩定性..........24\r\n第八節: GARCH模型包含跳動點(Jumps)的檢測..........25\r\n第九節:多變量的ARCH模型..........28\r\n第十節: GARCH模型的結構性改變..........30\r\n第四章:結構性變動之實證分析\r\n第一節:資料基本概述..........32\r\n第二節:CUSUM與CUSUMSQ檢定..........38\r\n第三節:Dummy variable檢定結構性改變..........43\r\n第五章: GARCH模型的檢定與估計\r\n第一節: GARCH效果檢定..........45\r\n第二節: GARCH模型之估計..........48\r\n第六章:評估與總結\r\n第一節:結論與未來研究方向..........70\r\n附錄一、CUSUM與CUSUMSQ檢定與虛擬變數檢定結果..........75\r\n附錄二、GARCH模型之殘差檢定..........97\r\n參考書文獻..........98zh_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:\r\n沈中華、魏文忠( 1995) ，\"物價膨脹不確定性對產出的影響一雙\r\n變量GARCH-M模型\"台大經濟論叢。\r\n林建甫( 1994) ，\"結構性改變的GARCH模型\"行政院國家科學委\r\n員會專題研究計畫成果報告。\r\n郭祥兆、韓宜芬(1994) ，\"台灣加權股價指數非線型與混沌現\r\n象之研究\"管理科學學報pp.49-69。\r\n\r\n二、英文部份:\r\nAmsler,C. and J. Lee,(1995)\"An LM Test for a United\" Root In\r\nthe Presence of a Structure Change \"Econometric Theory\r\n359-386 .\r\nAndrew,H. and S. Neil. (1993)\"Structure Time Series Models\"\r\nHandbook of Statistics, Vol 11,261-302 .\r\nAndrews,D.W.K.(1993)\"Tests for Parameter Instability and\r\nStructural Change with Unknown Change Point ,\"onometrica ,Vol\r\n61 No.4 ,821-856 .\r\nBall,C. and Torous ,W (1985), On Jumps in Stock Prices and\r\ntheir Impack on Call Option Pricing, Journal of Finance, 40\r\n155-173.\r\nBaillie,R.T. and T. Bollerslev,(1989)\"The Message in daily\r\nExchange Rates: A Conditional Variance Rate, \" Journal of\r\nBusiness and Economics Statistics 7,297-305.\r\nBaillie,R. T. and T. Bollerslev, (1990) \" A Multivariate\r\nGeneralized ARCH Approach to Modeling Risk Premia in Foreign\r\nRate Markets,\"Journal of International Money and Finance 9,\r\n309-324.\r\nBauer, Rob M.M.J. , Frederick G.M.C. Nieuwland and Willem\r\nF.C.Verschoor(1994) \"German Stock Market Dynamics,\"Empirical\r\nEconomics 19 : 397-418 .\r\nBeckers, S. (1981),\" A Note on Estimating the Parameters of\r\nthe Diffusion-Jump Model of Stock Returns\" , Journal of\r\nFinancial and Quantitative Analysis,16 127-140 .\r\nBera, A.K., M.H. Higgins, and S. Lee (1991)\" Interaction\r\nbetween Autocorrlation and Conditional Hetroskedasticity: A\r\nRandom Coefficient Approach ,\"Department of Econolnics ,\r\nUniversity of Hinois , Champaign ,IL .\r\nBlake L. (1993)\"The Joint Dynamics and Stability of Stock\r\nPrices and Volume,\"University of Wisconsin - Madison.\r\nBerndt, E.K. ,B. H. Hall, R.E. Hall, and J.A. Hausman.(1974)\r\n\"Estimation and Inference in Nonlinear Structure Models.\"\r\nAnnals of Economic and Social Measurement 3:653-65 .\r\nBollerslev,T.(1986), \"Generalized Autoregressive Conditional\r\nHetroskedasticity ,\"Journal of Econometrics,31, 307-327.\r\nBollerslev,T.(1987),\"A Conditionally Hetroskedastic Time\r\nSeries Model for Speculative Prices and Rates of Return, \"The\r\nReview of Economics and Statistics,69,543-547 .\r\nBollerslev,T ., R.F.Engle and J.M. Wooldridge(1988)\" A Capital\r\nAssert Pricing Model with Time Varying Covariance. \" Journal of\r\nPolitical Economy,96,116-131.\r\nBollerslev,T. (1990)\" Modelling the Coherence in the Short-run\r\nNominal Exchange Rate: A Multivariate Generalized ARCH\r\nApproach. \" The Review of Economics and Statistics,72, 498-505.\r\nBollerslev,T. , R. Y. Chou and ,K.F. Kroner(1992) \"ARCH\r\nModeling Finance - A Review of the Theory and Empirical\r\nEvidence, \" Journal of Econometrics 52 5-59 .\r\nBrown, R.D. ,Durbin J. ,and Evans,J.M. (1975),\"Techniques for\r\nTesting the Constancy of Regression Relationships Over Time,\"\r\nJournal of the Royal Statistical Society,Ser B,37, 149-163.\r\nChong, T. T. (1995)\"Partial Parameter Consistency in a\r\nMisspecified Structural Change Model ,\"Economics letters 49\r\n351-357.\r\nChow.G. (1960) ? Tests of Equality between Sets of\r\nCoefficients in Two Linear Regressions,\"Econometrica,28.531-534.\r\nChu,Chia-Shang James(1995)\"Detecting Parameter Shift in GARCH\r\nModels,\"Econometric Reviews, 14(2) 241-266 .\r\nDurbin,J.(1969),\"Tests for Series Correlation in Regression\r\n\"Analysis Based on the Periodogram of Least-Square Residuals.\r\nBiometrika, 56.1-15.\r\nDrost. F.C. and T. E.Nijman (1993) ,\"Temporal Aggregation of\r\nGARCH Processes ,\" Econometric Reviews, 11 143-172.\r\nDrost.F.C. and Werker,B.J.M.(1994),\"Closing the GARCH Gap:\r\nContinous Time GARCH Modeling .\" Journal of Econometrics,\r\nForthcoming .\r\nDrost, F.C. , Theo E. Nijman, and Bas J.M. Werker (1994)\r\n\"Estimation and Testing in Models Containing Both Jumps and\r\nConditional Heteroskedasticity.\" Tilburg University.\r\nEngle,R.F.(1982), \"Autoregressive Conditional\r\nHetroscedasticity with Estimates of the Variance of United\r\nKingdom Inflation ,\"Econometrica, 50 , 987-1007.\r\nEngle ,R.F. and Bollerslev,T.(1986),\"Modelling the Persistence\r\nof Conditional Variance,\"Ecomometric Review, 5,1-50.\r\nEngle ,R.F;Lilin, D.M. ;and Robins, R.P.(1987),\"Estimating Time\r\nVarying Risk in Term Structure: The ARCH-M Model,\r\n\"Econometrica ,55,391-407.\r\nEdgerton ,David and Curt Wells,(1994) \"Critical Value for The CUSUMSQ\r\nAtatistic in Medium and Large Sized\" Oxford Bulletin of Economics and\r\nStatistic ,56.3 p355-p365 .\r\nFama, E.F. (1965),\" The Behavior of Stock Market Prices, \" Journal of\r\nBusiness 38, 34-105.\r\nFisher F.M.(1970) Tests of Equality between Sets of Coefficients in\r\nTwo Linear Regressions: an Expository Note. Econmoetrica 38:361-366.\r\nGallant, A.R. ,P.E. Rossi and G. Tauchen,(1990)\"Stock Price and\r\nVolume,\"Department of Economics ,Duke University, Durham,NC.\r\nGeweke,J.(1989b)\"Bayesian Inference in Econometric Models Using\r\nMonte Carlo Integration ,\" Econometrica 57 ,1317-1339.\r\nGlosten ,L.R. ,R.Jagannathan, and D. Runkle (1989)\" Relationship\r\nbetween the Expected Value and the Volatility of the Nominal Excess\r\nReturn on Stocks. \"Northwestern University. Mimeo.\r\nGourieroux,Christian and Monfort lain (1995) \" Testing,\r\nEncompassing,and Simulating Dynamic Econometric Models,\"\r\nEconometric Theory,2,195-22S.\r\nGregory, A.W.,(19S9),\"A Non-parametric Test for Autoregressive\r\nconditional Hetroskedasticity : A Markov Chain Approach ,\"\r\nJournal of Business and Economic Statistics 7, 107-115.\r\nHamilton, James D (1993)\"Estimation , Inference and Forecasting\r\nof Time Series Subject to Changs in Regime\"Handbook of\r\nStatistics ,Vol.11 231-259.\r\nHamilton, James D (1994) \"Time Series Analysis\".pp657-676.\r\nHsieh,D. A. (19S9)\"Testing for Nonlinear Dependence in Daily\r\nForeign Exchange Rate Changes,\" Journal of Business 62.339-36S.\r\nIncan ,Carla and Geroge C. 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