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dc.contributorCheng-Shu Wuen_US
dc.contributorMau-Shan Shien_US
dc.contributor.advisorMin-Jiun Suen_US
dc.contributor.authorSun, Chen-Junen_US
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dc.description.abstractThe 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.en_US
dc.description.tableofcontents第一章 緒論 1 第一節 研究背景與動機 1 第二節 研究目的 3 第三節 研究對象與範圍 3 第四節 研究流程 4 第二章 文獻探討 6 第一節 效率市場假說 6 第二節 碎形理論與碎形市場假說 7 第三節 緩長記憶理論背景及相關研究 9 第四節 匯率緩長記憶之相關實證研究 14 第五節 文獻探討與研究方向 28 第三章 研究方法 30 第一節 研究架構 30 第二節 恆定性檢定 33 第三節 主要六個外幣以新台幣計價匯率報酬率之一階動差檢定方法 36 第四節 碎型整合模型 42 第五節 模型設定 50 第四章 實證分析 52 第一節 研究對象與研究期間 52 第二節 樣本敘述統計之分析 53 第三節 恆定性檢定 54 第四節 主要六個外幣以新台幣計價匯率報酬率之一階動差緩長記憶 55 第五節 主要六個外幣以新台幣計價匯率報酬率之一階動差與二階動差緩長記憶 58 第五章 研究結論與建議 64 第一節 結論 64 第二節 研究建議 66 參考文獻 67 附錄一. ......................................................73 附錄二 79 表次 表2-1 匯率緩長記憶相關研究之文獻整理 20 表2-1(續) 匯率緩長記憶相關研究之文獻整理 21 表2-1(續) 匯率緩長記憶相關研究之文獻整理 22 表2-1(續) 匯率緩長記憶相關研究之文獻整理 23 表2-1(續) 匯率緩長記憶相關研究之文獻整理 24 表2-1(續) 匯率緩長記憶相關研究之文獻整理 25 表2-1(續) 匯率緩長記憶相關研究之文獻整理 26 表2-1(續) 匯率緩長記憶相關研究之文獻整理 27 表2-1(續) 匯率緩長記憶相關研究之文獻整理 28 表3-1 Hurst指數範圍與其數列之關係 38 表3-2 修正的R/S分析的漸進臨界值 40 表4-1 97年台灣主要貿易國家進出口貿易量 52 表4-2 主要六外幣以新台幣計價匯率報酬率之資料處理 53 表4-3 主要六個外幣以新台幣計價匯率報酬率的敘述統計 53 表4-4 主要六個外幣以新台幣計價匯率報酬率之單根檢定 55 表4-5 主要六個外幣以新台幣計價匯率報酬率之一階動差檢定 56 表4-6 主要六個外幣以新台幣計價匯率報酬率一階動差檢定之實證結果匯整 57 表4-7 新台幣兌主要六國貿易對手匯率報酬率之ARFIMA 與ARMA模型: 59 表4-8 主要六個外幣以新台幣計價匯率報酬率之FIGARCH模型:變異數迴歸式 61 表4-8(續)主要六個外幣以新台幣計價匯率報酬率之ARMA-FIGARCH模型:變異數迴歸式 62 表4-9 主要六個外匯以新台幣計價匯率報酬率之ARFIMA- FIGARCH與 63 圖次 圖1-1 研究流程 5 圖3-1 研究架構 32zh_TW
dc.subjectlong memoryen_US
dc.subjectARFIMA modelen_US
dc.subjectFIGARCH modelen_US
dc.titleThe Study on The Long Memory of The Return Rate of The Main Foreign Currencies in Terms of New Taiwan Dollar in Taiwan Exchange Marketen_US
dc.typeThesis and Dissertationzh_TW
item.openairetypeThesis and Dissertation-
item.fulltextno fulltext-
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