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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/119679

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/119679

Title:	The Role of US Variables in Long-Run and Short-Run Taiwan Stock Volatility
Authors:	趙世偉 Chao, Shih-Wei
Contributors:	金融系
Keywords:	GARCH;MIDAS;Taiwan stock market;volatility components
Date:	2018-04
Issue Date:	2018-08-28 14:27:02 (UTC+8)
Abstract:	This article uses the GARCH-MIDAS model to decompose Taiwan stock volatility and studies the role of US economic variables in each component. The full-sample results indicate that the additional explanatory information of US variables is contributed mostly by stock market measures, and the link between short-run Taiwan and US stock volatility is particularly evident. The out-of-sample results suggest that the in-sample significant US variables lead to slightly smaller forecast errors for both volatility components, but the improvements are very limited. The analysis also extends to Electronics and Non-Electronics subindices, a range-based volatility estimator and a different volatility decomposition method. Despite these alternatives, the main conclusions do not change.
Relation:	Emerging Markets Finance and Trade
Data Type:	article
DOI 連結:	https://doi.org/10.1080/1540496X.2018.1464908
DOI:	10.1080/1540496X.2018.1464908
Appears in Collections:	[金融學系] 期刊論文

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