本論文主要建立可以衡量訊息到達對條件波動有不對稱效果的門檻轉換GARCH模型。本文的門檻轉換GARCH模型在反應波動不對稱效果的方法上，是允許訊息影響曲線方程式的斜率與截距項，可依據未預期變動的正負號而改變。透過分析訊息影響曲線方程式的參數，可以顯示出本文的不對稱GARCH模型，除了可反應正負向的未預期變動對波動有不對稱性的影響之外，還可偵測到波動不對稱性的反轉與資訊程度偏誤效果等行為。此外，本文又探討門檻轉換GARCH模型的統計特性，包括非條件二階動差、非條件四階動差、峰態係數的推導與平穩過程的條件的證明。 為了瞭解本文所建立的門檻轉換GARCH模型對於波動行為的解釋能力，本文以台灣股票市場的股價報酬資料進行實證研究。資料期間是從民國76年1月6日至民國86年12月31日的日資料，樣本點共計3151個。根據本文建立的不對稱GARCH模型：門檻轉換GARCH模型與擴展的門檻轉換GARCH模型以及文獻中的一些不對稱GARCH模型，對台灣股票市場的股價報酬資料進行波動行為的實證研究結果，顯示本論文所建立的門檻轉換GARCH模型在解釋台灣股票市場波動的行為能力，較傳統的一些不對稱GARCH模型為好。 此外，根據不對稱GARCH模型對台灣股票市場股價變動波動行為的實證結果，顯示台灣股價波動的行為具有ARCH效果、不對稱性以及資訊程度偏誤等特性。其次，本文再以民國78年10月11日至86年12月31日的子樣本，進行模式穩健性的檢驗與探討多頭時期與空頭時期波動的行為是否有結構性的改變。實證結果發現空頭時期台灣股價波動水準與波動持續性不同於多頭時期的波動行為過程：在空頭時期的波動水準大於多頭時期的波動水準，並且多頭時期波動的持續性較空頭時期波動的持續性為強。在子樣本期間模式穩健性的檢驗上，實證結果顯示本文所建立的門檻轉換GARCH模型的配適性，仍然較傳統不對稱GARCH模型解釋波動能力為好。

This thesis proposes a Threshold-Switching GARCH model which allows an asymmetric reaction of the conditional volatility to the arrival of news. In the Threshold-Switching GARCH model the method of capturing an asymmetric reaction is induced by both the slope and intercept of the equation of news impact curve to be changeable through the signs of past shocks. By an analysis of parameters of the equation of the news impact curve, it can be shown that the Threshold-Switching GARCH model can not only capture the different impacts of unexpected error terms but also the behavior of the inversion of asymmetry and news size bias effects. Furthermore, this thesis discusses the statistical characteristics, including the formulas of the unconditional second order moment, the fourth order moment, kurtosis of the innovation and the proof of the stationary process. In this thesis I use the data of Taiwan stock price to evaluate the validity of the Threshold-Switching GARCH model. The sample period is from January 6, 1987 to December 31, 1997, the number of which is 3151. With the application of the Threshold-Switching GARCH model, the extensive Threshold-Switching GARCH model and some asymmetry GARCH models to study the volatility of Taiwan stock price, the empirical results are shown that the Threshold-Switching GARCH model is better than some traditional asymmetric GARCH models in capturing the behavior of volatility. Moreover, the empirical results of volatility of Taiwan stock price indicate that the behaviors of volatility have GARCH effects, asymmetric reaction and news size bias effect. In order to test the robustness of the Threshold-Switching GARCH model, the subsample from October 11, 1989 to December 31, 1997 is chosen to discuss the structural change of the volatility behavior between the bear and the bull periods. The empirical result indicates that the level and persistence of volatility in the bear period are different from those in the bull period. The level of the volatility in the bear period is higher than that in the bull period. The volatility in the bull period is more persistent than that in the bull period. The test of the robustness in the subsample indicates that the fitness of the Threshold-Switching GARCH model is still better than that of the traditional GARCH models.