政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/102986
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    政大典藏 > Journal of NCCU > Issue 75 > Journal Articles >  Item 140.119/102986


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/102986


    Title: 新臺幣對美元名目匯率及銀行間折放款利率變化之機率分配研究
    Other Titles: A Study on Probability Distributions of the Change in NT/US Nominal Exchange Rate and Taiwan`s Interbank Lending Rate
    Authors: 李桐豪
    Lee, Tung-Hao
    Contributors: 金融系
    Date: 1997-10
    Issue Date: 2016-10-18 16:35:36 (UTC+8)
    Abstract: 匯率與利率是我國開放金融自由化與國際化時兩項重要的金融指標。研究這兩種金融資產報酬率之機率分配屬性有助於瞭解未來與兩者有關的衍生性金融商品的訂價問題。本文以新臺幣對美元名目匯率及銀行間拆放款利率的變化率為探討的對象，主要考慮的機率分配則是隨機漫步、跳躍的混合模型、韋伯穩定分配，以及GARCH模型。結果發現這些模型雖然較隨機漫步的高斯模型在峰度估計方面有所改進，但是與樣本實際觀察的數值仍有一段距離。混合機率分配僅能部份成功地抓住樣本的大尾特質，而GARCH模型卻產生過度高估峰度部份的參數。因此未來研究的方向似應採取Mantegna及Stanley的方式，針對高狹峰與大尾部份分別採用不同的機率分配模型混合估計，以得到更佳的機率分配特質。
    Relation: 國立政治大學學報,75 part2,147-171
    Data Type: article
    Appears in Collections:[Issue 75] Journal Articles

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