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    題名: 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
    作者: 張愉佳
    Chang,Yu Chia
    貢獻者: 郭炳伸
    Kuo,Biing Shen
    張愉佳
    Chang,Yu Chia
    關鍵詞: 波動度
    靴帶抽樣
    GARCH模型
    台灣股票市場
    Volatility
    Bootstrap
    GARCH
    Taiwan Stock Market
    日期: 2006
    上傳時間: 2009-09-18 15:59:49 (UTC+8)
    摘要: 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。
    參考文獻: Andersen, T. G. (2000), “Some Reflections on Analysis of High-Frequency Data,” Journal of Business & Economic Statistics, 18, 146–153.
    Andersen, T. G. and Bollerslev, T. (1998), “Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts,” International Economics Review, 39, 885–905.
    Andersen, T. G., Bollerslev, T., Christoffersen, P. F. and Diebold F. X. (2006), “Volatility and Correlation Forecasting,” Handbook of Economic Forecasting, Volume 1, Chapter 15, 777–878.
    Andersen, T. G., Bollerslev, T., Diebold, F. X. and Ebens H. (2001), “The Distribution of Stock Return Volatility,” Journal of Financial Economics, 61, 43–76.
    Andersen, T. G., Bollerslev, T., Diebold, F. X. and Labys P. (2001), “The Distribution of Exchange Rate Volatility,” Journal of the American Statistical Association, 96, 42–55.
    Andersen, T. G., Bollerslev, T., Diebold F. X. and Labys P. (2003), “Modeling and Forecasting Realized Volatility,” Econometrica, 71, 579–625.
    Baillie, R. T., Bollerslev, T. (1992), “Prediction in Dynamic Models with Time Dependent Conditional Variances,” Journal of Econometrics, 52, 91–113.
    Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31, 307–327.
    Bollerslev, T. (1987), “A Conditionally Heteroskedastic Time Series Models for Speculative Prices and Rates of Return,” Review of Economics and Statistics, 72, 498–505.
    Bollerslev, T. (2001), “Financial Econometrics: Past Development and Future Challenges,” Journal of Econometrics, 100, 41–51.
    Bollerslev, T., Chou, R. Y. and Kroner, K. F. (1992), “ARCH Modeling in Finance: A Selective Review of the Theory and Empirical Evidence,” Journal of Econometrics, 52, 5–59.
    Bollerslev, T. and Wooldridge, J.M. (1992), “Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time Varying Covariances,” Econometric Reviews, 11, 143–172.
    Cao, R., Febrero-Brande, M., Gonz´alez-Manteiga, W., Prada-S´anchez, J. M. and Garc´ıa-Jurado, I. (1997), “Saving Computer Time in Constructing Consistent Bootstrap Prediction Intervals for Autoregressive Processes,” Communications in Statistics, Part B- Simulation and Computation, 26, 961–978.
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    Granger, C. W. J. and Poon, Ser-Huang (2003), “Forecasting Volatility in Financial Markets: A Review,” Journal of Economic Literature, 41, 478–539.
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    Nelson, D. B. (1990), “Stationary and Persistence in the GARCH (1, 1) Model,” Econometric Theory, 6, 318–334.
    Nelson, D.B. (1992), “Filtering and Forecasting with Misspecified ARCH Models I: getting the right variance with the wrong model,” Journal of Econometrics, 52, 61–90.
    Pascual, L., Romo, J. and Ruiz, E. (2001), “Effects of Parameter Estimation on Prediction Densities: A Bootstrap Approach,” International Journal of Forecasting, 17, 83–103.
    Pascual, L., Romo, J. and Ruiz, E. (2004), “Bootstrap Predictive Inference for ARIMA Processes,” Journal of Time Series Analysis, 25, 449–465.
    Pascual, L., Romo, J. and Ruiz, E. (2006), “Bootstrap Prediction for Returns and Volatilities in GARCH Models,” Computational Statistics & Data Analysis, 50, 2293–2312.
    Reeves, J. J. (2005), “Bootstrap Prediction Intervals for ARCH Models,” International Journal of Forecasting, 21, 237–248.
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    描述: 碩士
    國立政治大學
    經濟研究所
    94258035
    95
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0094258035
    資料類型: thesis
    顯示於類別:[經濟學系] 學位論文

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