English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 109953/140892 (78%)
Visitors : 46227365      Online Users : 561
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/77640


    Title: GARCH族模型的預測能力比較:一種半參數方法
    Authors: 郭炳伸
    Contributors: 國貿系
    Keywords: GARCH;波動預測;估計函數;SPA檢驗
    Date: 2010
    Issue Date: 2015-08-17 17:44:20 (UTC+8)
    Abstract: 半參數GARCH模型無須設定條件分布的具體形式。本文首先將一種效率較高、易于實施的半參數方法——估計函數方法應用于10類常見的GARCH結構,并給出證據,顯示該方法能顯著提高GARCH族模型的波動率預測績效。然后,應用估計函數方法,較為全面地比較各類GARCH結構的預測能力。為給出統計意義下的結果,并減少"數據窺察"問題,研究中分別使用OLS和SPA檢驗法進行績效評價。結果發現,與其他GARCH類結構相比,EGARCH和APARCH模型能夠較好地描述股市收益率的波動過程。
    Relation: 數量經濟技術經濟研究,2010(4),148-161
    Data Type: article
    Appears in Collections:[國際經營與貿易學系 ] 期刊論文

    Files in This Item:

    File Description SizeFormat
    148-161.pdf548KbAdobe PDF2673View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback