變幅動態波動模型與傳統GARCH模型預測能力之比較
-以臺灣加權股價指數為例
  Comparison the forecasting of Range-based and Return-based GARCH model -Cases of TAIEX index

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题名:	變幅動態波動模型與傳統GARCH模型預測能力之比較 -以臺灣加權股價指數為例 Comparison the forecasting of Range-based and Return-based GARCH model -Cases of TAIEX index
作者:	張志涵 Chih-Han Chang, 張光亮 Kuang-Liang Chang
贡献者:	嘉義大學應用經濟學系;Department of Applied Economics, National Chia Yi University
关键词:	CARR模型;變幅;波動性;伽瑪分配;CARR model, Range, volatility, Gamma distribution, Range-based, Return-based
日期:	2012
上传时间:	2013-08-07 01:28:52 (UTC+0)
出版者:	嘉義大學應用經濟學系;Department of Applied Economics, National Chia Yi University
摘要:	波動性的預測近年來一直學者們關心的焦點。傳統GARCH模型解釋了資產報酬率的異質變異情況，但由於實際變異數無法觀察，以致無法確切的描繪真實波動性的現象。Chou (2005)提出CARR（Conditional Autoregressive Range）模型，探討變幅與時而變的動態過程，並提出指數分配、韋伯分配皆可做為變幅的分配設定。本文以CARR模型為基礎，改變分配為指數、韋伯與伽瑪分配，以臺灣加權股價指數為資料進行分析，比較不同分配設定下CARR的差異。另將CARR與GARCH結合，試圖獲取較佳的樣本外預測結果，並比較Range-based GARCH與Return-based GARCH對於報酬預測能力的優劣。實證結果顯示，伽瑪分配是較佳的分配設定，另外透過樣本外預測力比較，GARCH-CARR比傳統GARCH模型具有較好的預測能力。 In recent decades, many studies have focused on the forecasting of volatility. The GARCH model provides the heteroskedasticity of the asset returns. But estimating the volatility can be difficult, because volatility is not observable. Chou(2005) proposed CARR (Conditional Autoregressive Range) model to explain the time-varying of range. In this study, We use CARR model by using TAIEX index data for 1999-2011,to compare different distribution (exponential, Weibull and Gamma distribution). And combine the CARR model and GARCH model, to compare the out-of-sample forecasts of Range-based GARCH and Return-based GARCH. We find the Gamma distribution is the best of those assumptions. And GARCH-CARR model provides the better prediction of volatility.
關聯:	2012中部學術財金研討會論文發表
显示于类别:	[財務金融學系] 會議論文

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