台灣股票市場波動率結構性變動與長期記憶性質

The Structural Shift and Long Memory Model of Volatility: The case of Taiwan Stock Market

王毓敏(Yu-Min Wang) ； 陳碧秀(Pi-Hisu Chen) ； 殷壽鏞(Shou-Yung Yin) ； 林家妃(Cha-Fei Lin)

《國立虎尾科技大學學報》 27卷3期 (2008/09) Pp. 89-105

https://doi.org/10.6425/JNHUST.200809.0089

摘要

本文主要以台灣加權股價指數爲探討對象，比較各種時間序列模型的預測能力，以正確的衡量及預測真實波動率。實證結果發現長期記憶模型相對於短期記憶模型確實有較好的預測能力；且在納入狀態轉換模型後，明顯發現馬可夫狀態轉換模型有很好的預測能力。

關鍵字

時間序列模型 ； 短期記憶模型 ； 長期記憶模型 ； 馬可夫結構轉換模型

並列摘要

In this paper, we test the time series models for the Taiwan stock market index to measure the actual volatility. While long memory is evident in the actual processes, the long memory model reveals that superior forecasts can be obtained than GARCH model. We compare the forecasting performance of Markov regime-switching model with that of ARFIMA model. The result indicated that the break processes is important for forecasting.

並列關鍵字

Time series model ； Short run model ； Long memory model ； Markov regime-switching model

參考文獻

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