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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/4174


    Title: 資產波動對市場訊息反應不對稱之探討：NIC曲線之應用與外幣選擇權市場的證據
    Other Titles: Reversion and Asymmetric Reaction of the Conditional Volatility to the News Shocks: Evidence from Implied Volatilities of Currency Options
    Authors: 杜化宇
    Keywords: VS-GARCH 模型;波動度不對稱;NIC 曲線;訊息衡量效果
    Date: 2004
    Issue Date: 2007-04-18 16:42:06 (UTC+8)
    Publisher: 臺北市：國立政治大學財務管理學系
    Abstract: 本研究的目的在探討外幣條件波動度對於訊息衝擊的不對稱反應現象。此 一不對稱現象同時會因過去衝擊的正負與規模大小而有所不同。使用Fornari 與Mele(1997)所發展出的Sign- and Volatility-Switching ARCH 模型與Engle 與 Ng(1993)所發展的NIC 模型，我們發現到波動度對於訊息衝擊存在不對稱反應 的」反轉」(reversion)現象。使用外幣選擇權的隱含波動度，我們發現此模型要較 傳統的不對稱ARCH model 有較好的績效。
    Description: 核定金額：501600元
    Data Type: report
    Appears in Collections:[財務管理學系] 國科會研究計畫

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