Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/20897
標題: The Study on The Long Memory of The Return Rate of The Main Foreign Currencies in Terms of New Taiwan Dollar in Taiwan Exchange Market
台灣匯市主要外幣以新台幣計價匯率報酬率的緩長記憶之實證研究
作者: 孫承君
Sun, Chen-Jun
關鍵字: long memory
緩長記憶
ARFIMA model
FIGARCH model
ARFIMA模型
FIGARCH模型
出版社: 企業管理學系所
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摘要: The understanding of the volatility and movement of exchange rate will help investors and government to hedge and arbitrage. So the issue of the effectiveness of exchange rate market has gained considerable attention for long time. The present paper, therefore, empirically investigate whether long memory exists in the first moment and second moment time series of the main foreign currencies in terms of New Taiwan Dollar in Taiwan exchange market. In testing long memory, the present paper adopts the methodologies of fractal theory: R/S analysis, modified R/S analysis, GPH test, Robinson test, ARFIMA model and FIGARCH model. Firstly, the long memory testing is applied to the first moment of the return rate of the main foreign currencies in terms of New Taiwan Dollar in Taiwan exchange market. The results of the testing would then be used to construct ARFIMA-FIGARCH model and ARMA-FIGARCH model in order to explore the long memory effect in the volatility of the the main foreign currencies in terms of New Taiwan Dollar in Taiwan exchange market ofreturn time series. The research results has indicated that long memory only exists in the first moment of NTD/CNY exchange rate of returns exchange rate. However, the return rate of the six main foreign currencies in terms of New Taiwan Dollar in Taiwan exchange market of the second moment possesses significant long memory effect. Therefore, investors can hedge or speculate by forecasting future volatilities from the historical data. Specially NTD/CNY exists more significant long memory property, so it may more easily be arbitraged.
若掌握明確的匯率之波動性趨勢與其動態調整過程,將有助於投資者或政府當局藉此來進行避險與套利行為,也因此外匯市場效率性之相關議題長久以來受到高度關注。由於國內相關研究並不多,故本文利用實證研究分析台灣主要六個外幣以新台幣計價匯率指數報酬率之時間序列的一階動差與二階動差是否存在緩長記憶之現象。本研究使用碎形理論中一般用來檢驗緩長記憶之方法︰傳統R/S分析、修正R/S分析、GPH檢定、Robinson檢定、ARFIMA模型與FIGARCH模型。本研究首先對匯率報酬率時間序列之ㄧ階動差進行緩長記憶之檢驗;再者,則依第一階段的檢定結果建立ARFIMA-FIGARCH模型與ARMA-FIGARCH模型,探討報酬率序列之波動性的緩長記憶。研究結果顯示,在一階動差的緩長記憶檢定結果只有NTD/CNY具有一階動差之緩長記憶;然而二階動差緩長記憶的研究結果說明,主要六個外匯以新台幣計價匯率報酬之波動性具有緩長記憶的特性,故投資人可利用歷史資料預測未來之波動性,並據此避險或取得投機利潤,特別是中國匯率市場因具有較顯著之緩長記憶之特性,更容易進行套利之活動。
URI: http://hdl.handle.net/11455/20897
其他識別: U0005-2306200920551500
文章連結: http://www.airitilibrary.com/Publication/alDetailedMesh1?DocID=U0005-2306200920551500
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