不同觀察頻率下之外匯波動性估計

Abstract

本研究之主要目的係探討在不同波動模型下，樣本頻率對於外匯波動性估計的影響。同時採用了GARCH、EGARCH以及TGARCH模型進行比較，除了檢驗樣本配適度檢定以外，並會進行樣本外預測績效。希冀透過多元的波動模型檢驗，找出適合捕捉外匯波動性的樣本頻率特性。 實證結果顯示，觀察頻率越高越能捕捉外匯的波動性。且不同模型的比較，可以發現EGARCH以及TGARCH的模型配適度普遍比GARCH佳。

The main purpose of the thesis is comparing the results of volatility estimation under different models and observation frequencies. These models include GARCH, EGARCH and TGARCH models. Both testing for the goodness-of-fit and sample forecasting will be conducting in the thesis. Empirical results show that higher observation frequency stands for higher goodness-of-fit when estimating in foreign exchange volatility. Another implication from the research is that both EGARCH and TGARCH model generally position higher goodness-of-fit than GARCH model.