動態波動模型預測能力之比較與實證

本研究討論CARR（Conditional Auto-Regressive Range）模型的經濟涵義及其性質，並以台灣發行量加權股價指數做為主要的研究對象，在週資料與日資料的基礎上，分別進行CARR模型及GARCH模型在波動性預測能力之比較。實證結果顯示，不管是樣本內及樣本外，在週資料的預測評比上皆得到CARR模型優於GARCH模型的結果，此與Chou（2003）利用S&P500指數所進行的研究結論具有一致性，而為了強化CARR模型的一致性，本文亦針對台灣店頭市場交易指數資料，進行頑強性驗證，二者皆支持CARR模型的可適用性。同時，股票市場中常見的槓桿效果也在本文的實證研究下獲得證實。

關鍵字

CARR ； GARCH ；變幅；波動性和槓桿效果

並列摘要

ARCH/GARCH family models have become popular in forecasting volatilities since the 1980's. In this paper we compare the empirical performance of the CARR model by Chou (2003) with the GARCH model. The CARR model effectively provides a dynamic structure for the range data which is more informative than conventional standpoint. Using the Taiwan Stock Exchange Capitalization Weighted Stock Index, the CARR model outperforms than GARCH model both in in-sample and out-of-sample forecasts of weekly stock market volatilities. Our results are consistent with that of Chou (2003) where the CARR model has better forecast abilities than the GARCH model based on S&P500 Index data. We also find significant evidence of the existence of a leverage effect in the Taiwan stock market.

並列關鍵字

CARR model ； GARCH model ； Range ； Volatility and Leverage effect

參考文獻

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被引用紀錄

江宗軒（2017）。ETF價格波動預測能力之探討〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2017.00180

黃鈺仁（2015）。商品存貨效應對估計投資組合風險值的影響〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2015.00323

楊恭勇（2012）。避險績效的決定因素〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2012.01074

陳甄燕（2012）。以ARJI模型重新檢視最適避險策略〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2012.01041

程羽旋（2012）。跳躍對波動擇時策略之經濟價值-以台灣股票型投資組合為例〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2012.00247

延伸閱讀

邵遵文、何兆銓、郭寶錚（2003）。共線性資料下不同統計方法之預測能力的模擬研究。農林學報，52(3)，81-94。https://doi.org/10.30089/JAF.200309.0006
Lin, C. T. (2010). 隱含波動指標不對稱性與預測誤差之實證研究 [doctoral dissertation, Tamkang University]. Airiti Library. https://doi.org/10.6846/TKU.2010.00246
Huang, S. Y. (2019). 隨機波動模型的實作與應用 [master's thesis, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU201900044
彭悠儷（2006）。The Study of Model Evaluation and Variable Selection for Financial Distress Prediction〔碩士論文，國立臺北科技大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0006-2907200623184700
Hagyan, M. A., Misiran, M., & Omar, Z. (2015). Content Analysis of Stochastic Volatility Model in Discrete and Continuous Time Setting. Research Journal of Applied Sciences, Engineering and Technology, 10(10), 1185-1191. https://www.airitilibrary.com/Article/Detail?DocID=20407467-201508-201509110019-201509110019-1185-1191

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動態波動模型預測能力之比較與實證

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