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    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/95149
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    題名: Regime-Switching GARCH 模型在短期利率波動行為上的再探討:波動度均數復歸的重要性
    作者: 張敏宜
    貢獻者: 杜化宇
    張敏宜
    關鍵詞: 短期利率
    條件波動度
    Regime-Switching
    Dispersion
    GJR-GARCH
    日期: 2008
    上傳時間: 2016-05-09 15:16:28 (UTC+8)
    摘要: 過去文獻在探究利率波動行為時多採用現貨市場利率做為研究對象,思及期貨市場交易成本較低且流動性也較高使其對新資訊的反應更為迅速下,本文改以短期利率期貨,三個月期歐洲美元定存利率期貨、三個月歐元存款利率期貨以及三十天期商業本票利率期貨的隱含利率作為樣本資料,進而探討美國、歐洲及台灣的利率波動行為。研究方法以Gray(1996)提出的一般化狀態轉換模型為基礎並加入可以反應不對稱性的Dispersion設定,此設定有二個優點,其一為當面臨極大衝擊時,可減少衝擊所造成的變異數持續性而產生波動度均數復歸的現象,此設計乃考量到樣本期間一半時期均處於高峰度狀態的情形不常見,當波動度處於高峰時,預期市場波動度會反轉成近似常態水準;其二為易於Student’s t分配之狀態轉換模型下自由度的參數化設定,使峰態可隨狀態轉換。另外亦加入槓桿效果設定來反應市場上正負消息對資產報酬波動度所造成的不對稱影響。
    由AIC模型配適度選擇準則下,適合描述美國、歐洲以及台灣的利率模型分別為RS-GARCH-L-DF, RS-GJR-GARCH-L-DF與RS-GJR-GARCH模型,這三個模型在DM預測力檢定下亦顯示具較佳模型預測力,本文進一步透過此些模型來探測歷年來重大經濟事件與央行利率政策對利率波動度的影響與關聯性。
    研究結果顯示美國、歐洲及台灣的利率波動行為均具有顯著的高低兩波動狀態,台灣與歐洲的利率處於高低波動期間的機率較平均,但台灣處於高波動度狀態的機率遠高於歐洲,相形之下,美國普遍處於低波動度狀態;三者的利率長期皆會回歸於某一均衡水準,且顯著存在波動度叢聚的現象,其中,台灣利率的波動最為劇烈,而美國與歐洲的利率行為則具有波動度長期會回歸某一均衡水準的現象。當利率水準較高時,可清楚窺知歐洲的利率波動度也會較大,此現象亦存在於美國的高波動時期,但不適用於台灣利率動態行為上的描述。
    參考文獻: 一、 中文部分
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    描述: 碩士
    國立政治大學
    財務管理研究所
    96357028
    資料來源: http://thesis.lib.nccu.edu.tw/record/#G0096357028
    資料類型: thesis
    顯示於類別:[財務管理學系] 學位論文

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