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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 29-四月-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," Journal of Econometrics 62,221-228 . Linton ,O.(1993)"Adaptive Estimation in ARCH Models," Econometric Theory, 9,539-569 . Liu,S. ,and B.W. Brorsen (1995)"Maximum Likelihood Estimation of a Garch-Stable Model." Journal of Applied Econometrics, Vol .10, pp 273-285. 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 Structure Chang "Empec,Vol 14 77-92 104 Madelbrot ,B . ,(1963) " The Variation of Certain Speculative Prices," Journal of Business 36, 394-419. Mcleod, A.L. and Li, W.K.(1983)"Diagnostic Checking ARMA Time Series Model Using Squared-Residual Autocorrelations." Journal of Monetary Economics, 10, 139-163. 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 48:817-838. Yang,S.R. and B.W. Brorsen (1994)"Daily Futures Price Changes and Non-Linear Dynamics,"Structure Change and Economic Dynamics ,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 Ling en_US dc.contributor.author (作者) 張柏彥 zh_TW dc.contributor.author (作者) Zhang, Bo Yan en_US dc.creator (作者) 張柏彥 zh_TW dc.creator (作者) Zhang, Bo Yan en_US dc.date (日期) 1995 en_US dc.date.accessioned 29-四月-2016 09:57:10 (UTC+8) - dc.date.available 29-四月-2016 09:57:10 (UTC+8) - dc.date.issued (上傳時間) 29-四月-2016 09:57:10 (UTC+8) - dc.identifier (其他 識別碼) B2002003030 en_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/#B2002003030 en_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) BUSINESS en_US dc.subject (關鍵詞) ECONOMICS en_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) thesis en_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 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," Journal of Econometrics 62,221-228 . Linton ,O.(1993)"Adaptive Estimation in ARCH Models," Econometric Theory, 9,539-569 . Liu,S. ,and B.W. Brorsen (1995)"Maximum Likelihood Estimation of a Garch-Stable Model." Journal of Applied Econometrics, Vol .10, pp 273-285. 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 Structure Chang "Empec,Vol 14 77-92 104 Madelbrot ,B . ,(1963) " The Variation of Certain Speculative Prices," Journal of Business 36, 394-419. Mcleod, A.L. and Li, W.K.(1983)"Diagnostic Checking ARMA Time Series Model Using Squared-Residual Autocorrelations." Journal of Monetary Economics, 10, 139-163. 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 48:817-838. Yang,S.R. and B.W. Brorsen (1994)"Daily Futures Price Changes and Non-Linear Dynamics,"Structure Change and Economic Dynamics ,Vol.5 111-131 . zh_TW