政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49008

政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/49008

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政大典藏 > College of Commerce > Department of Money and Banking > Theses > Item 140.119/49008

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/49008

Title:	以高頻率日內資料驗證報酬率與波動度之因果關係-以台灣期貨市場為證 Use high-frequency data measuring the relationship between returns and volatility with Taiwan futures market data
Authors:	趙明威
Contributors:	廖四郎趙明威
Keywords:	高頻率日內資料槓桿效果波動度預測模型 GJR-GARCH模型
Date:	2009
Issue Date:	2010-12-08 01:56:53 (UTC+8)
Abstract:	本篇論文的目的在驗證台股期貨報酬率與其波動度之間的相對應關係是由槓桿效果或是波動度回饋效果之因果關係所驅動，並且分別以日資料以及高頻率日內資料進行實證。實證結果發現在高頻率日內資料的應用下，能夠比日資料揭露出更詳細的波動度資訊，將報酬率與波動度間的對應關係描繪得更加明瞭。且在大多數資料期間內，同期下，台股期貨報酬率與其波動度之間會呈現負相關性，而負相關的程度會隨著報酬率遞延期數越長而逐漸遞減，因此可以發現報酬率與其波動度間呈現一個經由報酬率進而影響波動度的對應關係，與槓桿效果的因果關係雷同。最後，本文亦採用了常見的波動度預測模型，歷史模擬法、GARCH(1,1)模型、EGARCH(1,1)模型以及GJR-GARCH(1,1)模型，觀察這些波動度模型所預測出之波動度是否含有上述驗證的資訊意涵，並比較各波動度模型的預測能力，結果發現GJR-GARCH模型於樣本外期間所預測之波動度，其與報酬率之間不但具有槓桿效果的因果關係，且預測能力亦於四個波動度模型中表現最佳。
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Description:	碩士國立政治大學金融研究所 97352011 98
Source URI:	http://thesis.lib.nccu.edu.tw/record/#G0097352011
Data Type:	thesis
Appears in Collections:	[Department of Money and Banking] Theses

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