The Impact of the Return Rates' Volatility of the U.S. and U.K. for the Hong Kong Stock Market Returns: Using the Double Variables Threshold-GARCH Model

美國與英國股價報酬率波動對香港股票市場報酬率之衝擊：雙變數門檻-GARCH模型之應用

許鎦響(Liu-Hsiang Hsu) ； 洪萬吉(Wann-Jyi Horng) ； 許蕙心(Hui-Hsin Hsu)

《Journal of Data Analysis》 6卷2期 (2011/04) Pp. 67-86

https://doi.org/10.6338/JDA.201104_6(2).0004

摘要

本文將提出一個雙變數門檻-GRACH模型，利用此模型探討美國與英國股價報酬率波動對香港股票市場報酬率波動的影響，且以美國與英國股價報酬率波動的正負值作為門檻。由實證結果顯示：以AR(3)-雙變數門檻-GRACH(1, 1)模型來探討美國與英國股價報酬率波動對香港股票市場報酬率波動的影響的確是合適的，且反應出香港股票市場具有不對稱效果。由實證結果也顯示：在美國與英國股價報酬率波動之正負值的四種組合之下，美國與英國股價報酬率波動將會影響香港股票市場報酬的波動，且反應出美國與英國股價報酬率波動也會影響香港股票市場報酬波動的變異風險，此亦反應出雙變數門檻-GARCH模型比GARCH與GJR-GARCH模型較具有解釋能力。此結果指出，當分析財經時間序列時，考慮四種組合與雙變數門檻的重要性。

關鍵字

雙變數門檻-GRACH ； 股價報酬率 ； 不對稱效果

並列摘要

This paper will propose a double variables threshold-GRACH model. It discusses the volatility influence of the U.S. and the U.K. stock price return rates on the Hong Kong stock market. We also take the threshold values from the U.S. and the U.K. stock price return rate volatilities' positive and negative values. The empirical results demonstrate that the AR(3)-double variables threshold-GRACH(1, 1) model discussing the U.S. and the U.K. stock price return rate volatilities to the Hong Kong stock market return's influence is indeed appropriate. Further, the Hong Kong stock market has an asymmetrical effect. The empirical results also show that the U.S. and the U.K. stock price return rate volatilities' positive and negative values of the four kinds of combinations are able to affect the Hong Kong stock market returns' volatility. The U.S. and U.K. stock price return rate volatilities are able to affect the stock market return volatilities' variation risks. As such, the double variables threshold-GARCH model has the best explanatory ability as compared to the GARCH and the GJR-GARCH models. This result points out the importance of considering four groups (or regimes) with the double variables threshold when analyzing financial time series.

並列關鍵字

double variables threshold-GARCH ； GARCH ； GJR-GARCH ； stock price return rate ； asymmetrical effect

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