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    Title: 匯率預測模型之實證研究
    A study of exchange rate forecasting model
    Authors: 邱靖惠
    Contributors: 謝淑貞
    邱靖惠
    Keywords: 自我迴歸整合移動平均模型
    廣義自我迴歸條件異質變異模型
    馬可夫轉換模型
    Date: 2019
    Issue Date: 2019-06-03 13:02:27 (UTC+8)
    Abstract: 本研究收集新台幣兌美元即期匯率資料,採用自我迴歸整合移動平均模型(ARIMA)、廣義自我迴歸條件異質變異模型(GARCH)及馬可夫轉換模型(MS),建構預測新台幣兌美元匯率之匯率預測模型,並找出預測能力最佳的模型。

    實證研究的結果顯示,樣本外預測能力,馬可夫轉換模型(MS)表現最佳,廣義自我迴歸條件異質變異模型(GARCH)次之,自我迴歸整合移動平均模型(ARIMA)最差,得出單純的線性匯率預測模型,例如自我迴歸整合移動平均模型(ARIMA)及廣義自我迴歸條件異質變異 (GARCH),在未考量其他不確定因素下,預測能力較差,加入不確定因素的匯率預測模型,例如馬可夫轉換模型(MS),預測能力較其他兩種線性模型佳,但三種匯率預測模型的均方差的平方根(RMSE)及絕對均差(MAE)之數值並無顯著差異。

    根據實證研究得出馬可夫轉換模型(MS)是最適合預測新台幣兌美元的匯率預測模型,在兩項衡量誤差指標中表現最佳,馬可夫轉換模型(MS)把不同狀態變數考量在模型中,以轉換機率表達不同狀態下匯率的升貶機率,比其他兩種匯率預測模型考量更多匯率變動之因素,增加模型預測能力,若能使用馬可夫動態轉換模型(MSDR),在模型加入被解釋變數的遞延項,可以增加模型的解釋能力。
    Reference: 一、中文部分
    1.楊敏生,1994,模糊理論簡介,十八卷一期,數學傳播。
    2.金美孜,1997,匯率預測誤差與學習--台灣遠期外匯市場在開放之實證分析,政治大學國際貿易研究所碩士論文。
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    4.蔡佳宏,1999,台灣股市與匯市間報酬及波動性之外溢效果—GARCH及GMM之應用,政治大學企業管理研究所碩士論文。
    5.陳麗如,2001,估計台幣/美元遠期外匯風險溢酬—馬可夫變換模型之應用,政治大學國際貿易研究所碩士論文。
    6.賴耀君,2003,用馬可夫鏈蒙地卡羅法估計隨機波動模型:台灣匯率市場的實證研究,政治大學經濟研究所碩士論文。
    7.惠曉峰、柳鴻生、胡偉、何丹青,2003,基於時間序列GARCH模型的人民幣匯率預測,2003年第5期,金融研究。
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    14.梁奕鴻,2014,3天搞懂外幣投資,日月文化出版股份有限公司。
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    16.魏雲捷、崔曉楊、鮑勤、汪壽陽,2016,匯率波動對我國對外貿易的影響分析,2016年第31期,中國科學院院刊。
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    二、英文部分
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    Description: 碩士
    國立政治大學
    國際經營與貿易學系
    106351012
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0106351012
    Data Type: thesis
    DOI: 10.6814/THE.NCCU.IB.005.2019.F06
    Appears in Collections:[國際經營與貿易學系 ] 學位論文

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