本研究採用VARMA-GARCH（1,1）模型針對石油期貨、黃金期貨與美元指數期貨三者相互的波動外溢效果，並同時探討三者間是否會因為美元價格的升貶而產生不同影響。實證結果顯示，在強勢美元期間，影響美元走強的因素與石油或黃金的關連性並不高，除黃金與美元指數呈現雙向的波動外溢效果外，黃金及美元對石油波動僅存有單向的波動外溢效果。然而，隨著美元走弱，黃金的替代性角色再度受到重視，而油價上漲，對於美國經濟環境造成相當的衝擊，也反映在美元指數上，波動外溢效果轉變為石油波動對黃金及美元市場波動的單向波動外溢效果。由此顯見三者間之關係有著顯著的變化，對投資人而言，將是很重要的參考依據。

This paper analyzes the spillover effects among oil futures, gold futures and the U.S. dollar futures using VARMA-GARCH (1,1) model. We also investigate that if the relationships are different in the period of depreciation and appreciation of U.S. dollar. The empirical results find that the relationships are much closer and the volatility spillover effects are also stronger after 2001, the period of depreciation. In the period of appreciation, the factors that appreciating the U.S dollar are not related to oil or gold price volatilities. The bi-direct spillover effects only exist between gold and U.S. dollar index, and the volatilities of gold and U.S. dollar are spillover to oil volatility, but the reverse spillover effects are not exist. However, along with the depreciation in U.S. dollar, the substitute effects are paid much attention in gold assets; at the same time, oil prices turn upward and have the huge impact regarding the economy in the U.S. It also reflected in US dollar index. The spillovers are turn into the opposite situation, that is, the volatility of oil price is spillover to the volatilities of gold and U.S. dollar, and the reverse spillovers effects are not exist. The relationships among three assets change over time, therefore, the results are important for investors.