本論文運用CUSUM、CUSUMSQ與虛擬變數探討台灣股票市場的結構性改變，與各種GARCH模型對台灣股票市場報酬加以解釋。實證結果如下：

1.CUSUM與CUSUMSQ檢定有相當大的差距，這在理論上是不合理的。

2.CUSUMSQ檢定出的結構改變虛擬變數有部份無法掌握。

3.EGARCH模型對金融股解釋力並無較佳，但在營建股上則得到較佳的估計，但與經濟直覺相異的地方在正面干擾對股市的影響較負面為大。

4.GARCH-in-mean模型在金融股上完全無法解釋，即風險與報酬的抵換關係，無法得到印證，但在營建股上以EGARCH為基礎的模型此點可得到印證。

5.以t分配為基礎GARCH模型在概度函數值與AIC、SBC上有較佳的解釋力，但在殘差的峰態檢定上則出現不一致。而此問題在雙變量GARCH模型上出現概度函數值與殘差峰態檢定出現相當大的不一致性。

一、中文部份:
沈中華、魏文忠( 1995) ，"物價膨脹不確定性對產出的影響一雙
變量GARCH-M模型"台大經濟論叢。
林建甫( 1994) ，"結構性改變的GARCH模型"行政院國家科學委
員會專題研究計畫成果報告。
郭祥兆、韓宜芬(1994) ，"台灣加權股價指數非線型與混沌現
象之研究"管理科學學報pp.49-69。

二、英文部份:
Amsler,C. and J. Lee,(1995)"An LM Test for a United" Root In
the Presence of a Structure Change "Econometric Theory
359-386 .
Andrew,H. and S. Neil. (1993)"Structure Time Series Models"
Handbook of Statistics, Vol 11,261-302 .
Andrews,D.W.K.(1993)"Tests for Parameter Instability and
Structural Change with Unknown Change Point ,"onometrica ,Vol
61 No.4 ,821-856 .
Ball,C. and Torous ,W (1985), On Jumps in Stock Prices and
their Impack on Call Option Pricing, Journal of Finance, 40
155-173.
Baillie,R.T. and T. Bollerslev,(1989)"The Message in daily
Exchange Rates: A Conditional Variance Rate, " Journal of
Business and Economics Statistics 7,297-305.
Baillie,R. T. and T. Bollerslev, (1990) " A Multivariate
Generalized ARCH Approach to Modeling Risk Premia in Foreign
Rate Markets,"Journal of International Money and Finance 9,
309-324.
Bauer, Rob M.M.J. , Frederick G.M.C. Nieuwland and Willem
F.C.Verschoor(1994) "German Stock Market Dynamics,"Empirical
Economics 19 : 397-418 .
Beckers, S. (1981)," A Note on Estimating the Parameters of
the Diffusion-Jump Model of Stock Returns" , Journal of
Financial and Quantitative Analysis,16 127-140 .
Bera, A.K., M.H. Higgins, and S. Lee (1991)" Interaction
between Autocorrlation and Conditional Hetroskedasticity: A
Random Coefficient Approach ,"Department of Econolnics ,
University of Hinois , Champaign ,IL .
Blake L. (1993)"The Joint Dynamics and Stability of Stock
Prices and Volume,"University of Wisconsin - Madison.
Berndt, E.K. ,B. H. Hall, R.E. Hall, and J.A. Hausman.(1974)
"Estimation and Inference in Nonlinear Structure Models."
Annals of Economic and Social Measurement 3:653-65 .
Bollerslev,T.(1986), "Generalized Autoregressive Conditional
Hetroskedasticity ,"Journal of Econometrics,31, 307-327.
Bollerslev,T.(1987),"A Conditionally Hetroskedastic Time
Series Model for Speculative Prices and Rates of Return, "The
Review of Economics and Statistics,69,543-547 .
Bollerslev,T ., R.F.Engle and J.M. Wooldridge(1988)" A Capital
Assert Pricing Model with Time Varying Covariance. " Journal of
Political Economy,96,116-131.
Bollerslev,T. (1990)" Modelling the Coherence in the Short-run
Nominal Exchange Rate: A Multivariate Generalized ARCH
Approach. " The Review of Economics and Statistics,72, 498-505.
Bollerslev,T. , R. Y. Chou and ,K.F. Kroner(1992) "ARCH
Modeling Finance - A Review of the Theory and Empirical
Evidence, " Journal of Econometrics 52 5-59 .
Brown, R.D. ,Durbin J. ,and Evans,J.M. (1975),"Techniques for
Testing the Constancy of Regression Relationships Over Time,"
Journal of the Royal Statistical Society,Ser B,37, 149-163.
Chong, T. T. (1995)"Partial Parameter Consistency in a
Misspecified Structural Change Model ,"Economics letters 49
351-357.
Chow.G. (1960) ? Tests of Equality between Sets of
Coefficients in Two Linear Regressions,"Econometrica,28.531-534.
Chu,Chia-Shang James(1995)"Detecting Parameter Shift in GARCH
Models,"Econometric Reviews, 14(2) 241-266 .
Durbin,J.(1969),"Tests for Series Correlation in Regression
"Analysis Based on the Periodogram of Least-Square Residuals.
Biometrika, 56.1-15.
Drost. F.C. and T. E.Nijman (1993) ,"Temporal Aggregation of
GARCH Processes ," Econometric Reviews, 11 143-172.
Drost.F.C. and Werker,B.J.M.(1994),"Closing the GARCH Gap:
Continous Time GARCH Modeling ." Journal of Econometrics,
Forthcoming .
Drost, F.C. , Theo E. Nijman, and Bas J.M. Werker (1994)
"Estimation and Testing in Models Containing Both Jumps and
Conditional Heteroskedasticity." Tilburg University.
Engle,R.F.(1982), "Autoregressive Conditional
Hetroscedasticity with Estimates of the Variance of United
Kingdom Inflation ,"Econometrica, 50 , 987-1007.
Engle ,R.F. and Bollerslev,T.(1986),"Modelling the Persistence
of Conditional Variance,"Ecomometric Review, 5,1-50.
Engle ,R.F;Lilin, D.M. ;and Robins, R.P.(1987),"Estimating Time
Varying Risk in Term Structure: The ARCH-M Model,
"Econometrica ,55,391-407.
Edgerton ,David and Curt Wells,(1994) "Critical Value for The CUSUMSQ
Atatistic in Medium and Large Sized" Oxford Bulletin of Economics and
Statistic ,56.3 p355-p365 .
Fama, E.F. (1965)," The Behavior of Stock Market Prices, " Journal of
Business 38, 34-105.
Fisher F.M.(1970) Tests of Equality between Sets of Coefficients in
Two Linear Regressions: an Expository Note. Econmoetrica 38:361-366.
Gallant, A.R. ,P.E. Rossi and G. Tauchen,(1990)"Stock Price and
Volume,"Department of Economics ,Duke University, Durham,NC.
Geweke,J.(1989b)"Bayesian Inference in Econometric Models Using
Monte Carlo Integration ," Econometrica 57 ,1317-1339.
Glosten ,L.R. ,R.Jagannathan, and D. Runkle (1989)" Relationship
between the Expected Value and the Volatility of the Nominal Excess
Return on Stocks. "Northwestern University. Mimeo.
Gourieroux,Christian and Monfort lain (1995) " Testing,
Encompassing,and Simulating Dynamic Econometric Models,"
Econometric Theory,2,195-22S.
Gregory, A.W.,(19S9),"A Non-parametric Test for Autoregressive
conditional Hetroskedasticity : A Markov Chain Approach ,"
Journal of Business and Economic Statistics 7, 107-115.
Hamilton, James D (1993)"Estimation , Inference and Forecasting
of Time Series Subject to Changs in Regime"Handbook of
Statistics ,Vol.11 231-259.
Hamilton, James D (1994) "Time Series Analysis".pp657-676.
Hsieh,D. A. (19S9)"Testing for Nonlinear Dependence in Daily
Foreign Exchange Rate Changes," Journal of Business 62.339-36S.
Incan ,Carla and Geroge C. Tiao 'Use of Cumulative Sums of Square
for Retrospective Detection of Changes of Variance' Journal of the
American Statistical Association,1994,Vol. 89, No. 427 P913-923.
Jorion ,P.(1988)," On Jump Processess in the Foreign Exchange
and Stock Markets," The Review of Financial Studies,l 427-445.
Kraft, D.F. and R.F. Engle (19S3)"Autoregressive Conditional
Heteroskedasticity in Multiple Time Series,"Department of
Economics ,Uinversity of California, San Diego, CA .
Kutan,Ali M.(1995) "Fractional cointegration,Conditional
Heteroskedasticity and Exchange Rate Dynamics :Evidence from
Reforming Eastern European Exchange Rates ," Economics
System,Vol.19 No.1 1-23 .
Lamoureux,Christopher and William D.Lastrapes(1990) "Persistence
in Variance, Structure Change, and the GARCH Model," Journal of
Business and Economic Statistics,Vol 8 No.2,225-235.
Lamoureux, W. and C. G.Lamoureux (1990) "Heteroskedasticity in
Stock Return Data: Volumevers GARCH Effects," The Journal of
Finance Vol.14 No.1 221-229.
Lin,C. J. and T.Terasvirta, (1994)"Testing the Constancy of
Regression Parameters against Continuous Structure Change,"
Journal of Econometrics 62,221-228 .
Linton ,O.(1993)"Adaptive Estimation in ARCH Models,"
Econometric Theory, 9,539-569 .
Liu,S. ,and B.W. Brorsen (1995)"Maximum Likelihood Estimation of
a Garch-Stable Model." Journal of Applied Econometrics, Vol .10,
pp 273-285.
Ljung, G.M. and G.E.P. Box ,(1978),"on a Measure of lag of Fit
Time Series Models," Biometrika 67, 297-303.
MacKinnon J.G.(19S9)"Heteroskedasticity-Robuest Test for
Structure Chang "Empec,Vol 14 77-92
104
Madelbrot ,B . ,(1963) " The Variation of Certain Speculative
Prices," Journal of Business 36, 394-419.
Mcleod, A.L. and Li, W.K.(1983)"Diagnostic Checking ARMA Time
Series Model Using Squared-Residual Autocorrelations." Journal
of Monetary Economics, 10, 139-163.
Milh ∮ j, A. (987)" A Multiplicative Parameterization of ARCH
Model , "Department of Statistics , University of Copenhagen
Nelson,D.B. (1990) ,"ARCH Models as Diffusion Approximation,"
Journal of Econometrics, 45 7-38.
Nelson,D.B.(1990)"Stationarity and Persistence in GARCH(1,1)
Model."Econometric Theory 6:318-34.
Nelson,D.B. and C.Q.Cao (1992),"Inequality Constraints In the
Univariate GARCH Model," Journal of Business & Economic
Statistics,10,229-235.
Pagan ,A.R. and Y.S. Hong (1990)"Non-Parametric Estimation and
the Risk Premium,"Cambridge University Press.
Pantula,S.G. ,(1985)" Estimation of Autoregressive Models with
ARCH Errors," Unpublished Manuscript ( Department of Statistics,
North Carolina State University ,Raleigh, NC).
Pesaran,B. and H.M. Pesaran (1995)"A Non-Nested Test of Level Differenced
Stationary Models,"Econometric Reviews,14(2), 213-227.
Rich,R.W., J.Raymond , and J.S. Butler, (1991) "The Relationship
Between Forcast Description and Forcast Uncertainty: Evidance
from a Survey Data-ARCH Model," Vanderbilt University ,Nashville,TN .
Robinson ,P.M. ,(1991) " Testing for Strong Serial Correlation
and Dynamic Conditional Hetroskedasticity in Multiple Regression,
"Journal of Econometrics 47,67-84.
Shen and Chiang ,(1996) "Foreign Exchange Risk Premium and
Volati1ity of Market Fundamental" 國立中山大學證?及資本研討會第三屆。
Simonato,J.(1992)"Estimation of Garch Process in the
Presence of Structural Chang."Economics Letters 40 155-158.
Vlaar,P.J.G. and Palm, F.C. (1993)," The Message in Weekly
Exchange Rates in the European Monetary System : Mean Reversion ,
Conditional Hetroskedasticity and Jumps ,"Journal of Business
and Economic Statistics,11 351-360.
West,K. D.and D. Cho (1995)"The Predictive Ability of Several
Models of Exchange Rate Volatility,"Journal of Econometrics, 69
367-391 .
White H.(1980) A Hetroskedasticity-Consistent Covariance Matrix
Estimator and a Direct test for Hetroskedasticity. Econometrica
48:817-838.
Yang,S.R. and B.W. Brorsen (1994)"Daily Futures Price Changes
and Non-Linear Dynamics,"Structure Change and Economic
Dynamics ,Vol.5 111-131 .