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Please use this identifier to cite or link to this item: http://ir.ncue.edu.tw/ir/handle/987654321/17086

Title: 利用隨機波動模型探討亞洲股市的門檻效果與槓桿效果
Threshold and Leverage Effects of Major Asian Stock Markets Based on Stochastic Volatility Models
Authors: 黃憲彰
Contributors: 企業管理學系
Keywords: 隨機波動模型;門檻效果;槓桿效果;貝氏推論;馬可夫鏈蒙第卡羅
Stochastic volatility model;Threshold effect;Leverage effect;Bayesian inference;Markov chain Monte Carlo
Date: 2007-08
Issue Date: 2013-07-11T09:05:29Z
Publisher: 行政院國家科學委員會
Abstract: 市場波動是一種重要的金融風險衡量指標,並且其對於很多金融決策過程扮演著決定性的角色,例如:選擇權定價,避險策略,投資組合配置和風險值 (Vale-at-risk) 計算。隨著國際金融市場連動的擴大與跨國境資金的自由化流動的加深,在美國和東亞之間的國際資金流動已經變得越來越普遍。在這越來越全球化的金融環境下,一個金融市場的擾動會立即地會影響全球金融系統。本研究旨在探討此一現象,方法上我們延伸隨機波動(Stochastic Volatility) 模型以考慮一國股票市場對於本國及國際股市衝擊下複雜的市場反應。本研究拓展隨機波動模型致一個更複雜更一般化的設定。本研究發展兩種新類型的隨機波動模型:(一)含有門檻影響 (Threshold effect) 的隨機波動模型 (TSV 模型),(二)包含有門檻和槓桿效果 (Leverage effect) 的隨機波動模型 (TLSV 模型)。本研究使用馬可夫鏈蒙第卡羅法(Markov Chain Monte Carlo: MCMC)來估計模型,以達到較精確的參數與波動的估計。本研究的實證結果將可以顯示亞洲金融市場間一些有趣的金融現象,作為國際投資人避險與資產配置的參考。我們也將利用一些統計準則來比較此兩類模型對於資料的配適度。
Market volatility is a measure of financial risks, and plays a crucial role in financial decision-making, option pricing, hedging strategies, portfolio allocation and Value-at-Risk calculations. This study extends stochastic volatility (SV) models to consider these complex market responses to local and international return shocks. The SV models are extended to a more complex setting. Two types of SV models, the SV
model with threshold effects (TSV model) and the SV model with both threshold and leverage effects (TLSV model), are used in this study. These models are estimated using a Markov Chain Monte Carlo (MCMC) method. The empirical results of this study may reveal some interesting phenomenon among major Asian financial markets. We will also compare the model fitting of these two types of models in terms of some criterions.
Relation: 國科會計畫, 計畫編號: NSC96-2416-H018-013; 研究期間: 96/08-97/07
Appears in Collections:[企業管理學系] 國科會計畫

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