English  |  正體中文  |  简体中文  |  Items with full text/Total items : 49356/84015 (59%)
Visitors : 7274068      Online Users : 51
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31652


    Title: 原油價格波動性預測
    Other Titles: Forecasting the volatility of crude oil price
    Authors: 陳佳琪;Chen, Chia-chi
    Contributors: 淡江大學財務金融學系碩士班
    李命志;Lee, Ming-chih
    Keywords: 峰態;偏態;預測;GARCH;GJR;SGT;Leptokurtosis;Skewness;Forecasting
    Date: 2008
    Issue Date: 2010-01-11 01:05:58 (UTC+8)
    Abstract: 本文研究西德州原油日報酬的波動性,第一部分以對稱性的GARCH模型及波動不對稱的GJR─GARCH模型均架構於一般化誤差分配(GED)及常態分配進行比較,檢視何者為最佳波動性預測模型。實證結果顯示以西德州原油日報酬為研究標的時,GJR GARCH─GED模型的預測能力較佳。
    第二部分以實證結果顯示偏態一般化t分配(SGT分配)的配適能力較一般化t分配(GT分配)、偏態t分配(ST分配)、對稱t分配(t分配)和常態分配為佳,亦即當金融資產報酬率存在高峰態與厚尾現象時,偏態一般化t分配(SGT分配)不僅可以解決常態分配所無法捕捉到的厚尾現象,亦可修正一般化t分配(GT分配)與對稱t分配(t分配)無偏態的缺點,對於資產報酬率波動性之設定,比過去常使用的常態分配與對稱的分配更為適當。
    This research introduces the volatility of West Texas Intermediate daily return. In part one, in order to test which model is the best, we compared the differences among GARCH-Normal, GARCH-GED, GJR GARCH-Normal and GJR GARCH-GED model. The empirical results indicate that GJR GARCH-GED model can forecast the volatility of West Texas Interemdiate daily return well.
    In part two, the empirical results indicate that the predictive ability of SGT is much better than GT、ST、t and Normal distribution. SGT can correct not only fat-tailed property, but also defects the low kurtosis of GT and t distribution. For the volatility of asset return setting, the assumption of volatility of assets price is more appropriate than Normal and asymmetric distribution which was often used.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

    Files in This Item:

    File SizeFormat
    0KbUnknown201View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.


    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback