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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31761

    Title: 資產報酬在偏態GED分配下之跳躍模型比較
    Other Titles: A comparison of GARCH-Jump models with skewed generalized error distribution for asset returns
    Authors: 陳俊吉;Chen, Chun-chi
    Contributors: 淡江大學財務金融學系碩士在職專班
    李命志;Lee, Ming-chih
    Keywords: GARCH-JD;ARJI;高狹峰;跳躍;SGED;概似比率檢定;GARCH-JD;ARJI;Leptokurtosis;Jump;SGED;LR test
    Date: 2008
    Issue Date: 2010-01-11 01:13:26 (UTC+8)
    Abstract: 本研究以跳躍擴散模型(GARCH-JD)及Chan and Maheu(2002)的ARJI模型,探討資產報酬為SGED分配下,美國及金磚四國(巴西、俄羅斯、印度及中國;BRICs)等五個國家之股價指數日報酬率是否存在跳躍的現象與是否具備高峰、厚尾及波動叢聚等特性,並以概似比率檢定檢驗模型的配適性,最後再分析模型在成熟市場與新興市場上,對於統計特性捕捉能力的優劣性。
    This paper adopts the GARCH jump model and ARJI model of Chan and Maheu(2002) that combine the skewed generalized error distribution of asset returns, in order to examine the jump, leptokurtosis and volatility clustering for the rates of returns of America and BRICs. We also employ likelihood ratio test for testing goodness of different models. In conclusion, we analyze different models’ capture ability for statistic features of mature market and emerging markets.
    The empirical results indicated that the five countries exist heavy tail and volatility clustering, but GARCH-JD and ARJI model with Russia and GARCH-JD with China can’t capture skewness. We also find these countries’ stock returns except Brazil with the two models have significant characteristic of jumping and jump process is provided with time varying. It’s better efficient when we assume that asset returns obey SGED. The ARJI model with SGED of asset returns develop that the diminishing efficiency for mature markets is faster then emerging markets while the earlier stage’s returns affect it at present. But mature markets’ nonpredictive volatility in early days for effecting upon at once is stronger then emerging markets. In the end, the likelihood ratio test demonstrate that these countries using SGED have more significant goodness of fit then using normal distribution. Totally, the ARJI model captures statistical property’s ability surpasses the GARCH-JD model and the ARJI model utilizes to the emerging markets compared with utilizes has the better explanation ability to the mature market.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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