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    题名: 含外生多變量TAR模型分析及其應用在黃金價格的預測
    Multivariate TAR Model with Exogenous Variables Analysis and its Applications to the Gold Price Forecasting
    作者: 侯博耀
    Hou, Bo-Yao
    贡献者: 曾正男
    侯博耀
    Hou, Bo-Yao
    关键词: 外生變數
    ARIMA
    TAR
    門檻值
    黃金價格
    Exogenous variables
    ARIMA
    TAR
    Threshold
    Gold price
    日期: 2023
    上传时间: 2023-07-06 15:24:06 (UTC+8)
    摘要: 本研究利用含外生多變量門檻自迴歸(TAR)模型，分析並預測110年至112年的黃金價格。相較傳統的ARIMA模型，含外生多變量TAR模型更能有效反映時間數列結構改變的過程與趨勢，對於預測上具有更大的優勢。此外，TAR模型的適用範圍很廣，因為時間數列通常為非線性，而且容易受到多個變數影響，因此加入多個外生變數，可以更準確的分析資料並進行預測。我們以黃金價格為例，提出之多變量TAR模型，較傳統預測模型有更高的預測精準度。研究目標:含外生多變量TAR模型分析及其預測。研究方法:找出含外生多變量門檻函數，計算含外生多變量TAR門檻值並進行模式架構分析及其預測。研究發現:含外生多變量TAR模型預測能力較傳統預測方法更佳。研究創新:提出外生變數門檻模式演算法。研究價值:財務實證分析上預測策略。

     
    In this research, we use a multivariate threshold autoregressive (TAR) model with exogenous variables to analyze and predict the gold price from 110 to 112 years. Compared with the traditional ARIMA model, the multivariate TAR model with exogenous variables can more effectively reflect the process and trend of time series structure changes, and has greater advantages in prediction. In addition, the TAR model has a wide range of applications, because the time series generally has nonlinear phenomena and is easily affected by multiple variables. Therefore, adding multiple exogenous variables as a consideration can analyze the data and make predictions more accurately. Taking the gold price as an example, the multivariate TAR model proposed has higher prediction accuracy than traditional forecasting models. Research Objectives: Analysis and prediction of multivariate TAR model with exogenous factors. Research Methods: Find out the exogenous multivariate threshold function, calculate the multivariate TAR threshold with exogenous variables, and conduct model architecture analysis and prediction. Research Findings: The multivariate TAR model with exogenous variables predictive ability is better than traditional forecasting methods. Research Innovation: Proposed exogenous variable threshold model algorithm. Research Value: Forecasting Strategies in Financial Empirical Analysis.
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    15.Shen, Y., & Hakes, D. R. (1995). A modified threshold regression approach to measuring discrimination. Journal of Human Resources, 30(3), 457-477.
    16.Hansen, B. E. (1999). Threshold effects in non-dynamic panels: Estimation, testing, and inference. Journal of econometrics, 93(2), 345-368.
     
    描述: 碩士
    國立政治大學
    應用數學系
    106751009
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0106751009
    数据类型: thesis
    显示于类别:[應用數學系] 學位論文

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