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| Title: | 財務報酬波動之預測：靴帶抽樣方法與應用
Volatility Predictions: the Bootstrap Approach and its Applications |
| Authors: | 張愉佳
Chang,Yu Chia |
| Contributors: | 郭炳伸
Kuo,Biing Shen
張愉佳
Chang,Yu Chia |
| Keywords: | 波動度
靴帶抽樣
GARCH模型
台灣股票市場
Volatility
Bootstrap
GARCH
Taiwan Stock Market |
| Date: | 2006 |
| Issue Date: | 2009-09-18 15:59:49 (UTC+8) |
| Abstract: | 金融資產報酬的波動一直都是財務市場熱衷研究的主題, 由於真正報酬的波動無法確知, 造成無法判斷何者為衡量報酬波動最佳的模型, 進而導致預測未來報酬的風險增加。因此, 本文利用靴帶抽樣法(Bootstrap)反覆抽樣的估計方式, 建立報酬與報酬波動的預測區間來衡量由估計模型參數產生的不確定性, 希望能藉此更瞭解資產報酬的變化以降低投資風險。鑒於目前衡量報酬波動的模型眾多, 文中將採用文獻上普遍最能掌握金融資產報酬波動現象的GARCH模型, 作為衡量報酬波動的方法, 再以靴帶抽樣方法估計其報酬與報酬波動的預測區間, 透過有限樣本的模擬將估計模型參數不確定性的靴帶抽樣方法與其他方法比較, 證明靴帶抽樣法最能適當的捕捉報酬波動真實的情況。最後, 由台灣上市股票市場中選取四支不同類股的各股以日報酬進行實證研究, 結果顯示各股的日報酬都具有波動變異的現象, 進一步估計樣本外不同範圍的波動預測區間, 發現利用估計模型參數不確定性的靴帶抽樣方法可以適當地涵蓋波動的變化。 |
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| Description: | 碩士
國立政治大學
經濟研究所
94258035
95 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0094258035 |
| Data Type: | thesis |
| Appears in Collections: | [經濟學系] 學位論文
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