結構轉變跳躍模型探討股價日報酬的恆常與移轉成份

Jumps Intensity and Permanent and Transitory Components with Structural Break in Daily Stock Returns

胡緒寧(Hsu-Ning Hu) ； 李命志(Ming-Chih Lee) ； 邱建良(Chien-Liang Chiu)

《台灣管理學刊》 7卷1期 (2007/02) Pp. 73-87

https://doi.org/10.6295/TAMJ.2007.0701.04

摘要

本研究經由Bai and Perron(2003)的結構轉變設定並採用新的ARJI-Trend模型來探討美國道瓊工業指數與史坦普爾500指數之條件變異數的恆常成份與移轉成份以及跳躍的強度與頻率之間的關係。結果發現條件變異數的恆常成份與移轉成份的確存在，並且在發生重大事件期間不但條件變異數之恆常成份會有增加的現象，而移轉成份增加的幅度更大。跳躍強度亦在條件變異數之移轉成份發生較大變化時大幅增加，並且可以看出條件變異數之移轉成份不但影響跳躍發生的機率，也同樣影響跳躍的強度。

關鍵字

ARJI-Trend模型 ； 要素模型 ； 跳躍 ； 結構轉折 ； 恆常成份 ； 移轉成份

並列摘要

This paper studies the relationship between the permanent and transitory components of the conditional variance and the frequency and intensity of jump of return. We use a new ARJI-Trend model to capture the daily data of American Dow Jones Industrial Index and S&P500 Index with a structural break analysis by Bai and Perron (2003). We find that both permanent and transitory components of the conditional variance are really exist in the whole sample period. The permanent component increase during the event occurrence and the transitory component increase larger at the same time. Jump intensity also makes a large change as the transitory component of the conditional variance increase when abnormal event occur.

並列關鍵字

ARJI-Trend model ； Component model ； Jump ； Structural break ； Permanent component ； Transitory component

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