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| Title: | 真實波動度之預測整合總體經濟資訊：以元大台灣50 ETF為例
Forecasting Realized Volatility by Integrating Macroeconomic Information: A Case Study of the Yuanta Taiwan 50 ETF |
| Authors: | 陳棣文
Chen, Ti-Wen |
| Contributors: | 廖四郎
Liao, Szu-Lang
陳棣文
Chen, Ti-Wen |
| Keywords: | GARCH-MIDAS
主成分分析
極限梯度提升
夏普利值
貝葉斯超參數
GARCH-MIDAS
Principal Component Analysis
Extreme Gradient Boosting
Shapley Value
Bayesian Optimization for Hyperparameter Tuning |
| Date: | 2024 |
| Issue Date: | 2024-08-05 12:19:08 (UTC+8) |
| Abstract: | 波動度為金融商品於一段時間其價格變化累積的觀察指標，其在財務工程領域中有著無與倫比的學術地位，諸多其衍生相關之學術研究領域，舉凡由資產定價模型回推估算的隱含波動度、由高頻資料價格變動累積的真實波動度…等。
本文的研究目標以元大台灣50 ETF之日頻率真實波動度預測作為研究標的，利用Engle et al. (2008) 所提出整合相異頻率資料訊息的GARCH-MIDAS方法，整合由主成分分析 (PCA) 萃取過後之低頻總體經濟因子，並參酌Song et al. (2023) 所使用之流動性相關變數，再搭配極限梯度提升 (XGBOOST) 建構預測模型，以五項殘差相關指標 (MAE、MSE、RMSE、SMAPE、RMSPE) 衡量模型成效，最後以Shapley (1951) 所提出的Shapley value 回推機器學習模型的預測邏輯，增強此模型的解釋性。
實證結果顯示，GARCH-MIDAS 方法所取得之短期波動度有著低估且無法有效追蹤短期真實波動度型態的問題，但其於長期型態上有著不俗的追蹤能力，故將其整合每日流動性相關變數，並輔以機器學習與貝葉斯超參數 (Bayesian Optimization for Hyperparameter Tuning) 修正能達到很好的預測與短期型態追蹤效果，並於Shapley value 模型解釋時，GARCH-MIDAS (Generalized Autoregressive Conditional Heteroskedasticity - Mixed Data Sampling)之短期因子有著非常重要的變數邊際貢獻。
Volatility is an indicator of the accumulated price changes of a financial product over a period of time, which has an unparalleled academic status in financial engineering. There are numerous related academic research fields derived from it, such as implied volatility inferred from asset pricing models, realized volatility accumulated from high-frequency price changes, and so on.
The research objective of this paper is to forecast the daily realized volatility of the Yuanta/P-shares Taiwan Top 50 ETF as the research subject. We employ the GARCH-MIDAS model proposed by Engle et al. (2008) to integrate information from mixed-frequency data, incorporating the low-frequency macroeconomic factors extracted by principal component analysis (PCA) and considering the liquidity-related variables used by Song et al. (2023). We then construct a forecasting model using extreme gradient boosting (XGBoost) and evaluate the model performance using five residual-related metrics (MAE, MSE, RMSE, SMAPE, RMSPE). Finally, we use the Shapley value proposed by Shapley (1951) to explain the prediction logic of the machine learning model, enhancing its interpretability.
The empirical results show that the short-term volatility obtained by the GARCH-MIDAS model has problems of underestimation and inability to effectively track short-term realized volatility patterns. However, it has decent tracking ability for long-term patterns. By integrating daily liquidity-related variables and correcting with machine learning and Bayesian optimization for hyperparameter tuning, we can achieve good forecasting and short-term pattern tracking performance. In the Shapley value model explanation, the short-term factor of GARCH-MIDAS (Generalized Autoregressive Conditional Heteroskedasticity - Mixed Data Sampling) has a very important variable marginal contribution. |
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| Description: | 碩士
國立政治大學
金融學系
111352035 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111352035 |
| Data Type: | thesis |
| Appears in Collections: | [金融學系] 學位論文
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