估計結構轉變下的匯率波動性的持續性 : 以美元對新台幣為例

機構典藏 > College of Business and Management > Department of Management Sciences > Thesis > Item 987654321/102233

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Title:	估計結構轉變下的匯率波動性的持續性 : 以美元對新台幣為例
Other Titles:	Estimating volatility persistence in exchange rates under structural changes : the case of US dollars to NT dollars
Authors:	陳品樺;Chen, Pin-Hua
Contributors:	淡江大學管理科學學系企業經營碩士在職專班莊忠柱;Chuang, Chung-Chu
Keywords:	匯率報酬率;波動性持續性;ICSS演算法;C-GARCH(1,1)模型;Return of exchange rate;Volatility persistence;ICSS algorithm;C-GARCH(1,1) model
Date:	2014
Issue Date:	2015-05-04 09:50:38 (UTC+8)
Abstract:	台灣屬於海島型國家，以國際貿易為經濟發展的主要動力，在全球化及資本高度移動性下，受國際市場所影響的匯率對於國家經濟發展有著重大影響，因而匯率波動性的影響更顯得重要，本研究先利用ICSS演算法尋找波動性結構轉變點，再利用C-GARCH(1,1)模型探討波動性結構轉變下美元對新台幣匯率報酬率的波動性持續性。本研究經實證分析結果得知，在1991年1月至2013年12月樣本期間美元對新台幣匯率共產生八次波動性結構性轉變，在不同子期間的C-GARCH(1,1)模型所得到的及係數結果皆呈顯著，即波動性存在著ARCH與GARCH效果。由C-GARCH(1,1)模型係數得知，結構轉變下的匯率波動性是存在著持續性，在考慮波動性結構轉變下，當匯率日報酬率受到一單位標準化衝擊後，波動性的持續性隨未來期數的增加而回復到原來水準。本研究的研究結果可提供投資人決策的參考。 Since Taiwan is an island country, economy development is mainly driven by international trade. Under globalization and free capital movement cross countries, the exchange rate determined by international market affects significantly economy development, therefore, it is crucial to look closely into the volatility of exchange rate. ICSS algorithm is employed to detect the structural break points of volatility, C-GARCH(1,1) model is further adopted to discuss that the persistence of exchange rate volatility under structural change. This empirical results show that there are 8 times of structural change in terms of US dollars to NT dollars’ exchange rate from Jan. 1991 to Dec. 2013. Furthermore, under different sub periods, the results of C-GARCH(1,1) model shows significantly, the volatility having both ARCH and GARCH effects. By looking at coefficients in GARCH(1,1) model, we realize that persistence for exchange rate’s volatility does exist. If structural change is taken into account, when daily return of exchange rate is impacted by one unit of standardized of over future periods, the persistence of volatility comes back to original level. The conclusions can provide references to investors for decision-making.
Appears in Collections:	[Department of Management Sciences] Thesis

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