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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 郭震坤 | |
| dc.contributor.author | Tzu-Chiang Lin | en |
| dc.contributor.author | 林子強 | zh_TW |
| dc.date.accessioned | 2021-06-08T00:50:13Z | - |
| dc.date.copyright | 2015-07-20 | |
| dc.date.issued | 2015 | |
| dc.date.submitted | 2015-07-07 | |
| dc.identifier.citation | [1] Hull.J.C..Option,Futures and other Derivatives. Prentice-Hall.New Jersey.2006
[2] Anderson, T.G. , & Bollerslev, T. (1998). Answering the skeptics：Yes, Standard Volatility Models do Provide Accurate Forecasts. International Economic Review, 39, 885-905. [3] Brooks, C., & S.P.Burke, (1998). Forecasting exchange rate volatility conditional variance models selected by information criteria. Economics Letters, 61, 273-278. [4] Engel, Charles, & Kenneth, D., West, (2005). Exchange Rate and Fundamentals. Journal of Political Economy, 113(3), 485-517. [5] Engel, R.F., & Ng, V.K. (1993). Measuring and testing the impact of news on volatility. Journal of Finance, 48,1749-1801. [6] Fisher, Radovan, & Roman Horvath,(2010). Central Bank communication and Exchange Rate Volatility：A GARCH Analysis. Macroeconomics and Finance in Emerging Market Economics, 3(2), 25-31. [7] Hamadu, Dallah, &Adeleke Ismaila, (2009). On Modeling the Nigerian Currency (naira) Exchange Rate against Major Regional and World Currencies. Journal of Business and Economics, 2, 42-52. [8] Jorion, Philippe. (1995). Predicting volatility in the foreign exchange market. The Journal of Finance, 1, 507-528. [9] Laakkonen, H. (2007). Impact of Macroeconomic News on Exchange Rate Volatility. Finnish Economic Papers, 20, 23-40. [10] Lastrapes, William, D. (1989). Exchange rate volatility and U.S. monetary policy：An ARCH application. Journal of Money, Credit, and Banking, 21, 66-77. [11] McKenzie, M.D. (1997). ARCH Modeling of Australian Bilateral Exchange Rate Data. Applied Financial Economics, 7, 147-164. [12] Nelson, D.B. (1991). Conditional heteroscedasticity in asset returns：A new approach. Econometrica, 59, 347-370. [13] Pesaran, B., & G. Robinson, (1993). The European exchange rate mechanism and the volatility of the sterling-deutschmark exchange rate. Economic Journal, 103, 1418-1431. [14] Abdalla , Suliman Zakaria Suliman , (2012). Modeling Exchange Rate Volatility using GARCH Models：Empirical Evidence from Arab Countries. International Journal of Economics and Finance, Vol. 4, No. 3 ; March 2012. [15] Poon, Ser-Huang, and Clive W.J. Granger. (2003). 'Forecasting Volatility in Financial Markets: A Review .' Journal of Economic Literature, 41(2): 478-539. [16] B. B. Mandelbrot (1963) The variation of certain speculative prices, Journal of Business, XXXVI (1963), pp. 392–417. [17] Brooks, C; Burke, S. (1998). “Forecasting exchange rate volatility using conditional variance models selected by information criteria” Economics Letters 61, 273-278. [18] Black, F. (1976), “Studies of Stock Price Volatility Changes”, Proceedings of the Business and Economics Section of the American Statistical Association , 177–181. [19] Nelson, D.B. (1991), ”Conditional heteroskedasticity in asset returns: a new approach”, Econometrica 59, 347-370. [20] Engle, R; Patton, A. (2001), ”What good is a volatility model?”, Research paper, Quantitative Finance, Volume 1, 237-245. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/18070 | - |
| dc.description.abstract | 本研究以GARCH模型以及E-GARCH模型建構G7貨幣之日報酬波動率模式，以台灣的直接報價匯率數據進行分析，並和Abdalla , Suliman Zakaria Suliman (2012)所研究的19種阿拉伯國家貨幣比較，實證結果顯示本研究探討的7種貨幣日報酬率的波動率皆有持續性，而Abdalla , Suliman Zakaria Suliman (2012)所研究的19種貨幣中的7種貨幣日報酬率的波動率具有持續性，顯示出已開發國家和開發中國家在貨幣日報酬率的顯著差異。 | zh_TW |
| dc.description.provenance | Made available in DSpace on 2021-06-08T00:50:13Z (GMT). No. of bitstreams: 1 ntu-104-R02724057-1.pdf: 2981561 bytes, checksum: bfc320b629803799ed6c3ad404b3a582 (MD5) Previous issue date: 2015 | en |
| dc.description.tableofcontents | 目錄
第一章 緒論及模型介紹 1 1.1、 研究動機與目的 1 1.2、 研究架構 2 第二章、文獻探討 3 2.1、介紹 3 2.1.1、波動率 3 2.1.2、波動率的特性 5 2.1.3、時間序列 7 2.2、論文回顧 11 2.2.1、文獻研究目的 11 2.2.2、文獻資料來源和模型建構 11 2.2.3、文獻研究成果 16 第三章 研究方法與模型分析 18 3.1、研究方法 18 3.2、資料及模型建構 18 3.3、G7貨幣報酬率統計量 20 3.4、GARCH模型檢定結果 24 3.5、E-GARCH模型檢定結果 27 第四章、結論 31 附錄 33 參考文獻 40 | |
| dc.language.iso | zh-TW | |
| dc.title | 以GARCH模型建構外匯波動率模式：以G7貨幣為例 | zh_TW |
| dc.title | Using GARCH Models to for modeling Exchange Rate Volatility：Empirical Evidence from G7 Currencies | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 103-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 李志偉,李顯峰 | |
| dc.subject.keyword | 外匯波動率,GARCH,E-GARCH, | zh_TW |
| dc.subject.keyword | exchange rate volatility,GARCH,E-GARCH, | en |
| dc.relation.page | 42 | |
| dc.rights.note | 未授權 | |
| dc.date.accepted | 2015-07-07 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 國際企業學研究所 | zh_TW |
| 顯示於系所單位： | 國際企業學系 | |
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