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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/116968


    Title: 中國商品期貨之波動性預測:以豆油商品為例
    Other Titles: Volatility Forecasts of Chinese Commodity Futures: Evidence from the Soybean Oil
    Authors: 蘇欣玫;黃健銘;劉洪鈞
    Keywords: 豆油期貨;波動性;預測績效;IGARCH模型;Oil Futures;Volatility;Forecasting Performance;IGARCH Model
    Date: 2015-03
    Issue Date: 2019-09-11 12:10:53 (UTC+8)
    Publisher: 中華管理績效評鑑學會
    Abstract: 中國大連商品交易所目前為全球農產品期貨交易之第二大交易所,其交易活絡,發行的農產品期貨價格更為中國農產品市場的權威價格。因此本文利用文獻中普遍認為最能適切捕捉金融商品的波動叢聚現象之ARCH或GARCH模型,應用在過去研究從未探討過的中國豆油期貨上,分析其對波動性估計之適切性與預測能力。希冀可提供投資人對於豆油期貨之波動性有進一步的瞭解,且在擬定豆油期貨的投資策略上可更臻完善。實證結果發現在樣本內估計上,ARCH(1,1)、GARCH(1,1)與IGARCH(1,1)的配適良好,而透過樣本外的預測績效比較可知IGARCH(1,1)為一較佳的預測模型。
    Relation: 會計與財金研究 8(1), p.1-10
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

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