台幣兌美元之匯率波動受其他外匯之影響─IGARCH模型之應用

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Title:	台幣兌美元之匯率波動受其他外匯之影響─IGARCH模型之應用
Other Titles:	The Influence of other Exchange Rate of Volatility Rates on the Exchange Rate Market in Taiwan: An Application of IGARCH Model
Authors:	陳建良 Chen, Chien-liang
Contributors:	財務金融學系財務管理碩士班張瑞真 Jui-chen Chang
Keywords:	匯率;不對稱效果 exchange rate;GARCH;ARCH;asymmetric effect;IGARCH
Date:	2009
Issue Date:	2015-03-24 16:54:04 (UTC+8)
Abstract:	過去有關匯率波動的文獻研究，大部分多探討匯率波動之群聚效果，但甚少考量不對稱效果將會影響未來波動預測之正確性。本研究探討台幣兌加幣、英磅與日圓之匯率報酬率是否影響台幣兌美元之匯率報酬率，以作為匯率預測之參考，研究資料期間採自2000年1月4日到2006年12月29日的匯率資料。依Bollerslev(1986)所提之GARCH模型，建構GRACH-M模型探討匯率波動率的波動過程。而由實證結果顯示AR(5)-IGARCH(1，1)模式對探討匯率波動率的擬合是合適的，實證結果發現，匯率波動率未具有不對稱效果。　　Majority of the previous studies about foreign exchange rate were using GARCH model to estimate the volatility clustering of exchange rate with very little consideration on the accuracy of volatility prediction from the asymmetrical effect. This research analyzed whether the return of foreign exchange rate between New Taiwan Dollar and Canadian Dollar, or British Pound, or Japanese Yen influences the return of exchange rate between New Taiwan Dollar and US Dollar and apply as the reference point for exchange rate prediction. The collected data of exchange rate from January 4, 2000 to December 29, 2006 were used to evaluate the asymmetrical effect. Taking the GARCH model by Bollerslev (1986) to construct a AR(5)-IGRACH(1,1) model for evaluating the volatility process of exchange rate volatility. The empirical result demonstrates that the AR(5)-GARCH(1,1) model is appropriate to discuss the exchange rate volatility process. However, the result also discovers that the exchange rate volatility rate did not present an asymmetrical effect.
Appears in Collections:	[Department of Finance, The M.A. Program of Financial Management] Disserations and Theses

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