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題名：不對稱GARCH模型的研究
書刊名：管理學報
作者：林楚雄 引用關係／劉維琪 引用關係／吳欽杉
作者(外文)：Lin, Chu-hsiung／Liu, Wei-chi／Wu, Chin-shun
出版日期：1999
卷期：16:3
頁次：頁479-515
主題關鍵詞：波動；自我迴歸條件異質變異數模型；不對稱效果；訊息到達；Volatility；ARCH model；Asymmetric effect；Arrival of news
原始連結：連回原系統網址new window
相關次數：
  • 被引用次數被引用次數:期刊(7) 博士論文(3) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:6
  • 共同引用共同引用:65
  • 點閱點閱:53
　　　　　本研究提出一個可以偵測波動不對稱性與資訊程度偏誤效果的GARCH模型（本文稱 為門檻轉換GARCH模型），並探討其統計特性。此外，本研究以臺灣股票市場的股價報酬資 料進行門檻轉換GARCH模型的實證研究。資料期間是從民國76年1月6日至民國86年l2月3l日 的日資料，樣本點共計3151個。根據門檻轉換GARCH模型與一些不對稱GARCH模型對臺灣股票 市場的股價報酬資料進行波動行為的比較結果，顯示本研究的門檻轉換GARCH模型在解釋臺 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，根據門檻轉換 GARCH模型對臺灣股票市場股價報酬波動行為的實證結果，顯示波動的行為具有ARCH效果、 不對稱性以及資訊程度偏誤等特性。除此之外，本研究再以民國78年10月Il日至86年12月3l 日的子樣本，進行模式穩健性的檢驗與波動行為結構性改變的探討。實證結果發現空頭時期 臺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，實證結果也顯示門檻轉換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 study proposes a Threshold-Switching GARCH model which can not only capture an asymmetric reaction of the conditional volatility to the arrival of news but also the behavior of news size bias effects. This study also discuss the statistical characteristics of the Threshold-Switching GARCH model. In this study 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 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 sub-sample from October 11, 1989 to December 31, 1997 is chosen to discuss the structural change of the volatility behavior. 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 sub-sample indicates that the fitness of the Threshold-Switching GARCH model is still better than that of the traditional GARCH models.
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圖書
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其他
1.Fornari, F.，Mele, A.(1994)。Weak Convergence and Distributional Assumptions for the Asymmetric Power ARCH Model，0。  new window
2.Harvey, A. C.，Shepherd, N.(1993)。Estimation and Testing of Stochastic Variance Models，0。  new window
圖書論文
1.Bollerslev, T.、Engle, R. F.、Nelson, D. B.(1994)。ARCH models。Handbook of Econometrics。Elsevier Science, Amsterdam：North-Holland。  new window
 
 
 
 
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