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Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/35133
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| Title: | 台灣股市的波動外溢效果之研究 |
| Authors: | 吳旻容
Wu, Min Jung |
| Contributors: | 饒秀華
Rau,Hsiu Hau
吳旻容
Wu, Min Jung |
| Keywords: | 多變量
GARCH模型
波動性
外溢效果
不對稱性
multivariate
GARCH model
volatility
spillover effect
asymmetry |
| Date: | 2007 |
| Issue Date: | 2009-09-18 14:14:27 (UTC+8) |
| Abstract: | 本研究使用相關係數隨時間變動的雙變量GARCH(1,1)模型(time-varying correlation bivariate GARCH(1,1) model)，討論台灣股票市場中，大公司與小公司之間的報酬、衝擊(shock)、波動(volatility)是否互為影響為主軸。其次，為了了解不同估計方法、相關係數的設定和解釋變數對結果造成的影響，亦設立了3種模型，作為本研究的比較模型。
本研究發現大公司與小公司過去的報酬，存在雙向的報酬外溢效果。換句話說，大公司與小公司過去的報酬分別都對「本身報酬」有影響外，對「對方的報酬」也有影響。進一步發現到：大公司過去受到的衝擊和波動不僅對本身的條件變異數造成影響，也影響到小公司的條件變異數。但相反地，小公司過去受到的衝擊和波動，只對本身的條件變異數有影響，對大公司的條件變異數沒有影響，所以大、小公司間的衝擊外溢效果和波動外溢效果有不對稱的現象。
從不同模型之比較也發現，在討論大公司與小公司的報酬及波動時，應重視兩者彼此相互影響的關係，在估計時使用多變量的方法，以捕捉彼此相依的條件共變異數及條件變異數之動態過程。除此之外，也應考量兩者的相關係數隨時間變動的特性，及過去的波動對描述對方條件變異數的重要性。
關鍵字：多變量、GARCH模型、波動性、外溢效果、不對稱性 |
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| Description: | 碩士
國立政治大學
國際經營與貿易研究所
95351021
96 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0095351021 |
| Data Type: | thesis |
| Appears in Collections: | [國際經營與貿易學系 ] 學位論文
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