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政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/73960

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/73960

Title:	GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate
Authors:	Shen, Chung-Hua;Chen, Shyh-wei 沈中華
Contributors:	金融系
Keywords:	Component,model in volatiltiy;GARCH;Jump
Date:	2004
Issue Date:	2015-03-23 18:19:22 (UTC+8)
Abstract:	This paper investigates whether there are three distinctive features in financial asset prices, that is, time-varying conditional volatility, jumps and the component factors of volatility. It adopts a component-GARCH-Jump, which can efficiently capture the three features simultaneously. Our results demonstrate,that the three features exist in the Taiwan exchange rate. Besides time-varying conditional volatility, our model identifies 172 jumps between 5 January 1988 and 21 March 2003. The empirical evidence shows that the permanent,component,of the conditional variance is a relatively smooth movement,except for a fairly sharp shift which began in 1997. This means,that the effect of the Asian crisis shock might very well have exerted not only a transitory jump effect, but also a permanent effect on Taiwan’s exchange rate.
Relation:	Mathematics and Computers in Simulation , 67(3), 201-216
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1016/j.matcom.2004.06.006
DOI:	10.1016/j.matcom.2004.06.006
Appears in Collections:	[金融學系] 期刊論文

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