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| Title: | 英國脫歐前後黃金與其他資產報酬與波動的變化－GJR-GARCH模型實證
Volatilities of Gold and Other Assets Before and After Brexit－Evidence from the GJR-GARCH model |
| Authors: | 蔡瑋真
Tsai, Wei-Chen |
| Contributors: | 顏佑銘
蔡瑋真
Tsai, Wei-Chen |
| Keywords: | 黃金
波動性
波動的不對稱性
GJR-GARCH |
| Date: | 2020 |
| Issue Date: | 2020-08-03 17:25:38 (UTC+8) |
| Abstract: | 本文透過建構GJR－GARCH模型來了解英國脫歐前後，黃金與原油、匯率、債市、股市資產的報酬與波動變化，選用變數有原油、英鎊、歐元、英國十年期公債殖利率、美國十年期公債殖利率、FTSE 100指數以及S&P 500指數。研究過程利用單根檢定、Q平方檢定等方法建構適當之時間序列模型，並配合Baur（2012）所述黃金具有反的波動不對稱性，建構含波動槓桿項之GJR－GARCH模型。實證結果發現英國脫歐前後黃金與自身前期報酬及波動普遍無顯著相關性，也並非長期確實存在反的波動不對稱性，僅於英國脫歐後發現受黃金前期波動影響存在反的波動不對稱效果。黃金與其他資產在英國脫歐前基本不存在相關性，而英國脫歐後，黃金與英鎊報酬率存在負向相關，同時美國十年期公債殖利率對黃金具有波動外溢效果。
In this paper, we study the changes in returns and volatility between gold and crude oil, exchange rates, bond markets, and stock market assets before and after Brexit through the construction of the GJR-GARCH model. The selected variables are crude oil, pounds, euros, the British 10-year bond yield, the U.S. 10-year bond yield, FTSE 100 index and S&P 500 index. The research process used the unit-root test, Q square test and other methods to construct an appropriate time series model. Cooperated with Baur (2012) which presented gold has inverse volatility asymmetry, we use GJR-GARCH model with volatility leverage. The empirical results show that there is generally no significant correlation between gold and its own previous returns and volatility before and after Brexit. It is not that there is indeed a long-term inverse volatility asymmetry, only after Brexit has found that inverse volatility asymmetry existed. There is basically no correlation between gold and other assets before Brexit, while after Brexit gold and British pound returns are negatively correlated. At the same time, the U.S. 10-year bond yield had a volatility spillover effect on gold. |
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| Description: | 碩士
國立政治大學
國際經營與貿易學系
108351003 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0108351003 |
| Data Type: | thesis |
| DOI: | 10.6814/NCCU202000710 |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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