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    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/77640


    Title: GARCH族模型的預測能力比較:一種半參數方法
    Authors: 郭炳伸
    Contributors: 國貿系
    Keywords: GARCH;波動預測;估計函數;SPA檢驗
    Date: 2010
    Issue Date: 2015-08-17 17:44:20 (UTC+8)
    Abstract: 半參數GARCH模型無須設定條件分布的具體形式。本文首先將一種效率較高、易于實施的半參數方法——估計函數方法應用于10類常見的GARCH結構,并給出證據,顯示該方法能顯著提高GARCH族模型的波動率預測績效。然后,應用估計函數方法,較為全面地比較各類GARCH結構的預測能力。為給出統計意義下的結果,并減少"數據窺察"問題,研究中分別使用OLS和SPA檢驗法進行績效評價。結果發現,與其他GARCH類結構相比,EGARCH和APARCH模型能夠較好地描述股市收益率的波動過程。
    Relation: 數量經濟技術經濟研究,2010(4),148-161
    Data Type: article
    Appears in Collections:[國際經營與貿易學系 ] 期刊論文

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