查詢結果分析
相關文獻
- Asymmetry and Long Memory in the Dynamics of Interest Rate Volatility
- 美國波動度指數與期貨長短期波動不對稱之研究
- Elucidating Asymmetric Volatility in Asset Returns and Optimizing Portfolio Choice Using Time-Changed Lévy Processes
- 動態隱含波動度模型:以臺指選擇權為例
- 市場衝擊對匯率波動之不對稱影響與其反轉特性:選擇權市場的證據與其意涵
- 臺指選擇權市場最適波動度指標之研究
- 美金計價可贖回零息債券評價系統--理論與實作
- The Effects of an Asymmetric Momentum Threshold on the Basis Volatility--Tranquil versus Turbulent Periods
- 貯槽邊界影響顆粒流動行為之電腦模擬研究
- 股利宣告內涵與Tobin's Q理論
頁籤選單縮合
題 名 | Asymmetry and Long Memory in the Dynamics of Interest Rate Volatility=短期利率波動度動態中的不對稱與長記憶現象 |
---|---|
作 者 | 王耀輝; 翁培師; | 書刊名 | 期貨與選擇權學刊 |
卷 期 | 1:2 2008.12[民97.12] |
頁 次 | 頁109-131 |
分類號 | 562.12 |
關鍵詞 | 短期利率; 波動度; 長記憶; 不對稱; Short-term interest rate; Volatility; Long memory; Asymmetry; |
語 文 | 英文(English) |
中文摘要 | 本研究同時檢驗短期利率波動度動態中的條件異質變異效果與長記憶效果,以三個月期的美國政府公債利率為樣本,分別藉由GARCH、EGARCH及FIEGARCH模型來估計短期利率波動度的參數,並比較模型之表現。結果顯示,同時包含不對稱波動度與長記憶現波動度效果的FIEGARCH模型表現最佳,特別是對於月資料的預測。顯示短期利率波動度同時具有不對稱與長記憶的特性,故過去文獻上僅單獨考慮不對稱或長記憶效果實有不足。另外,本研究亦比較短期利率模型中,漂移項(drift term)的不對稱與非線性設定在模型解釋力上的差異。結果顯示,相較於非線性設定,漂移項的不對稱設定較能顯著提高模型的解釋力,表示短期利率漂移項存在不對稱的均數回歸(mean-reverting)現象,但並無非線性效果。 |
英文摘要 | The conditionally heteroskedastic volatility effect in the short-rate volatility process has been broadly investigated, and the long memory phenomena has attracted a lot of attentions, too. However, these two effects have never been involved together to model the dynamics of short-rate volatility. We introduce an asymmetry and long memory conditional variance model, FIEGARCH, to model the dynamics of short-term interest rate volatility on three-month U.S. Treasury bills. By finding significant estimates, we recognize the necessity of the asymmetric volatility function with the long memory property. Our results also show that non-linearity is not a necessary fact for the short-rate drift, instead, the asymmetric specification plays an important role in the mean function. Finally, according to the comparison for the prediction of the volatility dynamics, the FIEGARCH shows better forecasting ability, especially for a monthly frequency. |
本系統中英文摘要資訊取自各篇刊載內容。