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標題: 台灣匯市匯價報酬率的預期與非預期波動度對匯價報酬率影響之研究
The Study of the Impacts of Expected and Unexpected Volatility on the Returns of Exchange Rate for Taiwan Foreign Exchange Market
作者: 翁博偉
Weng, Bo-Wei
關鍵字: expected volatility;預期波動度;unexpected volatility;foreign exchange returns;GARCH models;非預期波動度;匯價報酬率;GARCH模型
出版社: 企業管理學系所
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Many investors in Taiwan operate the foreign exchange, but the foreign exchange market is often affected by expected positive volatility, expected negative volatility, unexpected positive volatility and unexpected negative volatility. In order to understand the impacts of expected and unexpected volatility on the linear and nonlinear foreign exchange returns, we use GARCH, IGARCH, TGARCH, EGARCH, PGARCH models to estimate the foreign exchange returns. Our datum include NT/USD, NT/EUR, NT/JPY, NT/CNY and NT/KRW foreign exchange returns, and the datum period is from 1999/1/5 to 2011/10/31. Finally, we apply OLS and Exponential OLS to estimate impacts of expected and unexpected volatility on the linear and nonlinear NT/USD, NT/EUR, NT/JPY, NT/CNY and NT/KRW foreign exchange returns. The results of this study show that in GARCH, IGARCH, TGARCH, EGARCH and PGARCH: (1) the unexpected volatility impacts of using OLS to estimate NT/USD, NT/EUR, NT/JPY, NT/CNY and NT/KRW foreign exchange returns are positive linear; (2) the expected volatility impacts of using OLS to estimate NT/USD, NT/EUR, NT/JPY, NT/CNY and NT/KRW foreign exchange returns are not significant; (3) the unexpected volatility impacts of using Exponential OLS to estimate NT/USD, NT/EUR, NT/JPY, NT/CNY and NT/KRW foreign exchange returns are positive nonlinear; (4) the expected volatility impacts of using Exponential OLS to estimate NT/USD, NT/EUR and NT/CNY foreign exchange returns are not significant, but NT/JPY, NT/KRW foreign exchange returns are positive nonlinear.

在台灣有不少民眾藉由操作外匯買賣來進行投資活動,但是外匯市場經常會受到預期正面波動度、預期負面波動度、非預期正面波動度、非預期負面波動度的影響,為了要了解預期與非預期波動度對匯價報酬率的線性與非線性的影響,因此本研究使用GARCH、IGARCH、TGARCH、EGARCH、PGARCH模型估計1999年1月5日至2011年10月31日在台灣匯市上以新台幣計價美元的匯價報酬率、以新台幣計價歐元的匯價報酬率、以新台幣計價日圓的匯價報酬率、以新台幣計價人民幣的匯價報酬率、以新台幣計價韓圜的匯價報酬率之預期與非預期波動度,最後再以OLS和Exponential OLS估計台灣匯市美元、歐元、日圓、人民幣、韓圜之報酬率的預期與非預期波動度對其本身匯價報酬率線性與非線性影響之研究。實證結果為:在GARCH、IGARCH、TGARCH、EGARCH、 PGARCH模型中,以OLS估計美元、歐元、日圓、人民幣、韓圜的匯價報酬率之非預期波動度對於其本身匯價報酬率均為線性的正向影響;在GARCH、IGARCH、TGARCH、EGARCH、 PGARCH模型中,以OLS估計美元、歐元、日圓、人民幣、韓圜的匯價報酬率之預期波動度對於其本身匯價報酬率均無任何線性影響;在GARCH、IGARCH、TGARCH、EGARCH、 PGARCH模型中,以Exponential OLS估計美元、歐元、日圓、人民幣、韓圜的匯價報酬率之非預期波動度對於其本身匯價報酬率均為非線性的正向影響;在GARCH、IGARCH、TGARCH、EGARCH、 PGARCH模型中,以Exponential OLS估計美元、歐元、人民幣的匯價報酬率之預期波動度對於其本身匯價報酬率均無任何非線性影響,但是以Exponential OLS估計日圓、韓圜的匯價報酬率之預期波動度對於其本身匯價報酬率均為非線性的正向影響。
其他識別: U0005-0506201216235300
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