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研究生： 許怡隆
論文名稱： 外匯市塲風險性溢價之探討-異質條件變異數分析法之研究
指導教授： 汪義育
學位類別： 碩士
Master
系所名稱： 商學院 - 國際經營與貿易學系
Department of International Business
論文出版年： 1989
畢業學年度： 77
語文別： 中文
論文頁數： 131
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    • 目錄
    第一章 緒論………1
    第一節 研究動機與目的………3
    第二節 論文研究大綱………3
    第二章 自廻歸條件異質變異數模型………6
    第一節 導論………6
    第二節 自廻歸條件異質變異數模型(ARCH) ………12
    2.2.1 ARCH模型之設定………12
    2.2.2 ARCH模型與其他模型設定之比較………14
    2.2.3 ARCH模型的統計性質探討………19
    2.2.4 ARCH模型之估計與檢定………23
    第三節 一般化之自廻歸條件異質變異數模型………35
    2.3.1 GARCH模型之設定………36
    2.3.2 GARCH模型之統計性質探討………38
    2.3.3 GARCH模型之認定、估計與檢定………41
    2.3.4 累積之GARCH模型(1ntegrated GARCH) ………47
    第四節 ARCH與GARCH模型之應用………50
    2.4.1 ARCH-M與GARCH-M模型………51
    2.4.2 多元之ARCH-M與GARCH-M模型………54
    第三章 外匯市場風險溢價之理論模型………63
    第一節 前言………63
    第二節 遠期外匯市場與風險溢價之關係………64
    3.2.1 文獻回顧………64
    3.2.2 資產組合模型………68
    3.2.3 跨期資產訂價模型………69
    3.2.4 最近之研究發展………70
    第三節 外匯市場之風險溢價模型………73
    3.3.1 模型簡介………73
    3.3.2 Lucas兩國貨幣之浮動匯率模型………74
    3.3.3 風險溢價模型之設定………84
    第四章 實證結果之分析………87
    第一節 風險溢價之計量模型………87
    第二節 外匯市場之實證結果分析………91
    4.2.1 非條件變異數模型之估計………91
    4.2.2 ARCH-D模型之估計………98.
    4.2.3 ARCH-M模型之估計………105
    第五章 結論與建議………121
    第一節 結論………121
    第二節 建議………122
    附錄(一) 資料處理………125
    附錄(二) 估計技巧………126
    參考書目………128

    參考資料
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    2. Bollerslev,T.(1987)--" A Conditional Heteroskedastic Time Series Model for Speculate Prices and Rates of Return ", The Review of Economics and Statistics: pp 542-547.
    3. Bollerslev, T. (1988)---" A Note on Correlation Structure for the Generalized Autoregressive Conditional Heteroskedastic Process",Journal of Time Series Analysis 9: pp 121-131.
    4. Bollerslev,T.and Engle,R.(1986)---" Modeling the Persistence of Conditional Variance ", Econometric Review 5: pp 1-50 .
    5. Bollerslev.T. and Engle,R. and Wooldridge (1988)---" A Capital Assert Pricing Model With Time-Varying Covariance ",---Journal of Political Economicy vol 96,no.2 : pp 116-131.
    6. Boothe,P.(1986)--" Foreign Exchange Market Efficiency Test:Implication of Recent Empirical Findings ", Journal of International Money and Finance 5: pp 135-152.
    7 Chou,R. Y.(l988)--" Volatility Persistence and Stock Valuations:Some Emperical Evidence Using GARCH". Journal of Applied Econometrics vol 3 : pp 279-294.
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    9. Diebold.F. and Pauly,P.(1988)---" Endogenous Risk in a Portfolio-Balance Rational Expectation Model of the Deutschemark-Dollar Rate Ecuropean Economics Review 32 : PP 27-53.
    10.Diebold,F.(1988a)---" Has the EMS Reduced Member - Country Exchange Volatility? ", Empirical Economices vol 13 : pp 81-102.
    11. Diebold, F. (1988b)---" Empirical Modeling of Exchange Rate Dynamics",Lecture Notes in Economics and Mathematical System 303 ,Spring-Verlag published.
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    13.Dominguez,K. M.(1985)---" Are Foreign Exchange Forecasts Rational? ",Economics Letters 21: pp 277-281.
    14.Domowitz,J. and Hakkio,C. (1985)---" Conditional Variance and Risk Premium in the Foreign Exchange Market", Journal of International Economics 19: pp 47-66.
    15.Engle,C. and Rodrigues,A. P.(1989)---" Test of International CAPM with Time-Varying Covariances ", Journal of Applied Econometrices vol 4. pp 119-138.
    16.Engle,R.(1982)---" Autoregressive Conditional Heteroskedasticity with Estimate of the Variance of U.K.Inflation", Econometrica 50: 987-1008
    17.Engle,R.(1983)---" Estimate of the Variance of U.S Inflation Based on the ARCH Model ",Journal of Money Credit and Banking 15: pp 287-30l.
    18. Engle,R. ,Granger, C. W. J. and Kraft,d. (1984)---" Combining Competing Forecast of Inflation Using a Bivariate ARCH Model ", Journal of Economics Dynamics and Control 8: pp 151-165.
    19. Engle,R. Lillien,D. and Robins,R.(1987)--" Estimating Time Varying Risk Premium in the Term Structure :the ARCH-H Model ", Econometrica 55:pp 391-407.
    20.Engle,R.,Victor Ng and Rothschild,M.(1988)--" Assert Pricing with a Factor ARCH Covariance Structure: Estimate for Treasurey Bill ",NBER Technical Working Paper no 65.
    21. Fama, E. (1984)---"Forward and Spot Exchange Rate", Journal of Monetary Economics 14 : pp 319-338.
    22.Frankel,J. A.(1988)---" Recent Estimate of Time-Variation in the Conditional Variance and in the Exchange Risk Premium", Journal of International Money and Fiance 7 : pp 115-125.
    23.French,K. R.,Schwert,G. W.& Stambaugh,R. F.(1987)--"Expected Stock Returs and Volatility", Journal of Financial Economics 19 : pp 3-29.
    24.Friedman,B. F.and Kuttner,K. N.(1988)---" Time Vaying Risk Perceptions and the Pricing of Risk Assert ", NBER Working Paper no 2694.
    25. Giovannini. A. and Philippe. J. (1987)---"Interest and Risk Premia in the Stock and in the Foreign Exchange Market", Journal of International Money and Fiance 6: pp 107-124.
    26. Giovannini,A. and Philippe,J.(1988)---"The Time Varying of Risk and Return in the Foreign Exchange and Stock Market", NBER no 2573.
    27.Hodrick,R. and Srivastava,S. (1984)---"An Investigation of Risk and
    Return in Forward Foreign Exchange" , Journal of International Money
    and Finance 3: pp 5-29.
    28.Hodrick,R. and Srivastava,S. (1986)---" The Covariance of Risk and Premium and Expected Future Spot Exchange Rate ", Journal of International Money and Finance 5: (supplyment) pp 5-29.
    29.Hsieh,D. A.(1984)---" Tests of Rational Expectations and No Risk Premium in Forward Exchange Markets", Journal of International Economics 17: pp 173-184.
    30.Ito,T.(1988)---"Use of (Time Domain) Vector Autoregression to Test Uncovered Interest Parity", Review of Economics and Statistics 296-
    31. Ito, T and Canova, F. (1988)--"On Time Series Properties of Time-Varying Risk Premium in the Yen/Dollar Exchange Market", NBER no 2678.
    32. Lastrapes William, D. (1989)--" Exchange Rate Volatility & U.S Monetary:An ARCH Application ", Journal of Money Credit & Banking vol 21,no 1 pp 66-77.
    33.Lee Tom,K. (1988)---" Does Conditional Covariance or Conditional Variance Explain Time Varying Risk Premia in Foreign Exchange Returns? ", Economics Letters 27: pp 371-373.
    34.Lucas,R. E.(1982) ---" Interest Rates and Currency Prices in a Two Country World ", Journal of Monetary Economics 10 : pp 335-359.
    35.McMuroy,T. H.and Mogrgan,I. G.(1988)---" Testing the Martingate Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity ", Journal of Applied Econometrics 3: 187-202.
    36.Milhoj,A.(1985)---" The Moment Structure of ARCH Process "; Scand Journal of Statistics 12: pp 281-292.
    37.Nelson,C. R. and Kim,C. J.(l988)---" The Time Varying Parameter Model as an Alternative to ARCH for Modeling Changing Conditional variance:The case of Lucas Hypothesis ", NBER Technical Working Paper no 70.
    38.Pagan,A. and Ullah,A.(1988)---" The Econometric Analysis of Models with Risk Terms" ,Journal of Applied Econometrics 3 : pp 87-105.
    39.Poterba,B. J. and Summers,L. H.(1986)--" The Persistence of Volatility and Stock Market Fluctuation ", American Economic Review Vol 76 no 5: pp 1142-1151.
    40.Tsay,R. S.(1987)---" Conditional Heteroscedastic Time Series Model ",J.A.S.A. pp 590-604.
    41.Weiss,A. A.(1984)---" ARMAModels with ARCH Errors ", Journal of Time Series Analysis 5: pp 121-143.
    42. Wooldridge,J. M. and Bollerslev, T. (1988)---" Quasi-Maximum Likelihood Estimation of Dynamic Models with Time-Varying Covariance", M. I. T Working Paper.

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