頁籤選單縮合
題名 | A Factor-Dependent Interest Rate Model--A Combination of GARCH(1,1) and Varying Coefficient Model Approach=因子相依利率模型--結合GARCH(1,1)與變異性參數模型 |
---|---|
作者 | 盧嘉梧; 廖咸興; 陳宗岡; 林慧華; | 書刊名 | 證券市場發展季刊 |
卷期 | 26:1=101 2014.03[民103.03] |
頁次 | 頁1-30 |
分類號 | 562.12 |
關鍵詞 | 因子相依利率模型; 變異性參數模型; 利率波動群集效應; GARCH(1,1); Factor-dependent interest model; Varying coefficient model; Volatility clustering effects; |
語文 | 英文(English) |
中文摘要 | 本研究利用變異性參數模型與GARCH(1,1)模型兩者來建置「因子相依利率模型」,此模型可藉由利率參數的動態調整,來反映總體經濟因子的變動及利率波動的群聚效應。本研究以美國一個月期國庫券利率之月資料進行實證,結果發現:不論在何種形狀之利率期間結構(上升、下降或平坦)或不同的樣本估計期間,本文所提出之因子相依利率模型,皆能較固定參數模型具有更佳的預測效力。此外,本研究亦發現,利差變數對下降型態的利率期間結構具有較高的資訊內涵。 |
英文摘要 | By integrating a varying coefficient model with a GARCH (1,1) model, this study develops a factor-dependent interest rate model framework which is able to dynamically adjust the parameters of the model to reflect both the changes of the factor of the macro-economy and the effects of volatility clustering. Using American one-month treasury rate, empirical results of this study show that the proposed factor-dependent models outperform fixed-parameter models in different shapes of term structure (downward-sloping, upward-sloping, and flat) and in different estimation periods. Additionally, this study also finds that the term-spread variable is more informative when term structure is downward-sloping. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。