應用模糊理論於門檻型GARCH模式之建構與預測

Appling the fuzzy theory in the construction and the forecasting of the threshold GARCH model

譚墨群(Mo-Chun Tan)

指導教授 ： 張建瑋

大同大學/電機資訊學院/應用數學學系所/碩士(2009年)

摘要

時間序列分析法在近年來的金融財務領域中愈來愈受到重視，其中的GARCH模型更能有效地分析波動叢聚現象的訊息。然而在實際建模時，經濟金融資料常帶有強烈的不確定訊息；此外，所使用的樣本資料期間過長或是其中發生的變化過大皆會影響整體預測的準確度。因此，本文嘗試將GARCH模型結合模糊理論與轉折區間的概念，建構出更能附合實際情況的門檻型GARCH模式。接著，我們以模擬及實際的資料來驗證模型的預測準確性。

關鍵字

時間數列 ； GARCH ； 轉折區間 ； 模糊理論

並列摘要

In recent years, the time series method has been got more and more attention in financial domain. In time series analytic method, the GARCH model could analyze effectively the information of volatility clustering. When the actual model set, the economical or financial resources are always having strongly unstable information that can not be confirmed. In addition, if the sample material period too long or the sample material changing too much. These will influence the accuracy of the forecasting. Therefore, in this article, we will attempt to base on the GARCH model with the advantage of change periods and the fuzzy theory, in order to build the GARCH model that can more close to the real situation. Then, we used the simulation data and real resources to test and verify the accuracy of model forecasting.

並列關鍵字

Time series ； GARCH ； change periods ； fuzzy theory

參考文獻

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