台幣與日圓匯率共同跳躍強度分析－CBP-GJR-GARCH-S模型之應用

The Correlated Bivariate Poisson Jump Model for Foreign Exchange: A CBP-GJR-GARCH-S Approach

張鼎煥(Ting-Huan Chang) ； 李彥賢(Yen-Hsien Lee) ； 林卓民(Cho-Min Lin)

《輔仁管理評論》 15卷2期 (2008/05) Pp. 23-40

https://doi.org/10.29698/FJMR.200805.0002

摘要

本文根據Chan(2003)所提出CBP-GARCH模型考慮加入波動性不對稱與波動性外溢效果，將擴展爲CBP-GJR-GARCH-S模型探討1993年1月1日至2005年12月31日台幣與日圓匯率報酬不連續跳躍與共同跳躍強度隨時間變動的共移性。實證結果發現台幣與日圓匯率報酬波動性受到波動性不對稱效果與外溢效果影響之外，亦受到跳躍效果影響，台幣與日圓匯率報酬獨立跳躍強度會隨時間變動，兩國匯率報酬存在共同跳躍行爲，但共同跳躍強度不隨時間變動。再由共同跳躍強度時間序列分析跳躍強度較大之事件，發現11個事件其中10個事件期間之相關係數與共變異數皆明顯較事件前後期間大，顯示兩國匯率報酬共同跳躍發生共移現象。

關鍵字

雙變量跳躍模型 ； 不對稱 ； 共移 ； 匯率

並列摘要

This study develops a new model, CBP-GJR-GARCH-S, which extends the CBP-GARCH model of Chan (2003) to incorporates the volatility asymmetry and volatility spillover effects, in order to examine the discontinuous jump and the time-varying correlated jump intensity co-movement s for the rates of return of the New Taiwan dollar and Japanese Yen exchange rates over the period extending from January 1, 1993 to December 31, 2005. From the empirical results, it is discovered that the correlated jump intensity of the New Taiwan dollar and Japanese Yen exchange rate rates of return exhibit both a high degree of correlation, but co-movement that isn't time-varying. Moreover, regarding the jump intensity of exchange rate returns for either the Japanese Yen or New Taiwan dollar is majorly from the correlated jump intensity for two countries' exchange rate return. As for the volatility spillover effects and the jump intensity, the volatility of the New Taiwan dollar exchange rate return is influenced by the Japanese Yen exchange rate return volatility spillover effect.

並列關鍵字

CBP-GARCH model ； jump intensity ； asymmetry ； co-movement ； foreign exchange

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