門檻式迴歸在台灣加權股價指數上的應用:非線性時間序列分析及樣本外預測之比較

A SETAR Model for Taiwan Stock Exchange Capitalization Weighted Stock Index: Non-linearities and Forecasting Comparisons

黃雅君(Ya-Chun Huang)

指導教授 ： 許光華 ； 李見發

朝陽科技大學/管理學院/財務金融系/碩士(2010年)

摘要

In this paper, we analyze the change in structure which occurred in Taiwan stock index, while finding a better non-linear model. We examine the out-of sample performance of non-linear time series SETAR model by employing Taiwan Stock Exchange Capitalization Weighted Stock Index over the period from January 3, 2005 to December 31, 2009. Furthermore, we do the unit root test before the model setting and then compare the out-of-sample forecasting performances between standard linear ARIMA model and non-linear SETAR model. Empirically, we find that non-linear SETAR model has superior forecasting power than linear ARIMA model does in Taiwan stock market.

關鍵字

門檻自我迴歸模型 ； 台灣加權股價指數 ； 門檻式迴歸 ； 預測

並列摘要

In this paper, we analyze the change in structure which occurred in Taiwan stock index, while finding a better non-linear model. We examine the out-of sample performance of non-linear time series SETAR model by employing Taiwan Stock Exchange Capitalization Weighted Stock Index over the period from January 3, 2005 to December 31, 2009. Furthermore, we do the unit root test before the model setting and then compare the out-of-sample forecasting performances between standard linear ARIMA model and non-linear SETAR model. Empirically, we find that non-linear SETAR model has superior forecasting power than linear ARIMA model does in Taiwan stock market.

並列關鍵字

SETAR Model ； Threshold Model ； Taiwan Stock Exchange Capitalization Weighted St ； Forecasting

參考文獻

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2. Boero, G. and Marrocu, E. (2002), The performance of non-linear exchange rate models: a forecasting comparison, Journal of Forecasting, Vol. 21(7), 513-542.

3. Boero, G. and Marrocu, E. (2003), The performance of SETAR models: a regime conditional evaluation of point, interval and density forecasts. Working Paper.

4. Box, G. and Jenkins, G. (1970), Time Series Analysis: Forecasting and Control, San Francisco, CA: Holden-Day.

5. Box, G. and Jenkins, G. (1976), Time Series Analysis: Forecasting and Control, San Francisco: Holden-Day.