以ARJI-Trend with Structural Break模型來探討台灣股票市場日報酬率之動態行為

ARJI-Trend with Structural Break Model in Taiwan stock market

詹榮桂(Jung-Kuei Chan)

指導教授 ： 邱建良 ； 陳玉瓏

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00749

摘要

本文以台灣股票指數的資料為研究對象，結合Engle and Lee (1993)的要素模型與Chan and Maheu (2002)的ARJI模型組合成ARJI-Trend模型，並加入Bai and Perron(2003)的結構轉變分析，來探討金融資產報酬的特性。
實證結果證明：1.條件變異數與跳躍強度是隨著時間的改變而變動，並非固定不變。2.條件變異數中的恆常要素與短暫要素確實存在；且短暫要素會比恆常要素收斂得快，條件變異數會收斂為一個常數，符合趨勢本身為定態的條件。
藉由本文的實證結果，以期對ㄧ般法人機構或是投資人在進行對台灣股市投資時，尤其對股票衍生性商品之評價、避險、與交易等，能有較多的資訊作出正確的投資決策。

關鍵字

隨機跳躍模型 ； 要素模型 ； 跳躍模型 ； 隨機跳躍-趨勢模型

並列摘要

This article regards the stock index in Taiwan as the research object. we use ARJI-Trend model combining Engle and Lee (1993)Component model with Chan and Maheu (2002)ARJI model and a structural break analysis by Bai and Perron(2003), to study the identities of assets return volatility.
The evidence significant indicates that : 1. We find significant time variation in the conditional variance and the conditional jump intensity. 2. We find that both permanent and transitory components of the conditional variance are really exist in the whole sample period; Transitory component will decay faster than the trend, the condition variance will eventually converge a constant since the trend itself is stationary.
With the research result of this article, we expect to provide some organizations and individuals with more information to make better investment decisions in Taiwan equity market, especially in derivatives pricing, hedging, and trading ,etc.

並列關鍵字

ARJI Model ； Component Model ； Jump Model ； ARJI-Trend Model

參考文獻

胡緒寧(2005) ，“結構轉變跳躍模型探討股價日報酬率的恆常與移轉成分〞，東海管理評論。

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林惠那(2004)，“重大事件對台灣股匯市之影響—利用跳躍-擴散模型〞，淡江大學財務金融所碩士論文。

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