Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/96610
標題: 利用GWMA預測台灣五十指數
Forecasting Taiwan 50 Index using GWMA algorithm
作者: 廖君昀
Juin-Yun Liao
關鍵字: GWMA模型;GARCH模型;EWMA模型;GWMA model;GARCH model;EWMA model
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摘要: 
在金融中波動率 (volatility) 常被用來量化資產的風險程度。波動性預測是衍生證券,如股票和指數選擇權定價的主要項目。本篇提出利用廣義移動加權平均數(GWMA)來預測元大證券-台灣五十(0050)指數之波動性。嘗試利用GWMA的參數找出最小預測誤差。並與金融界早已推行的GARCH(1,1)模型和指數加權移動平均數(EWMA)來比較之模型優劣性。透過分析2010年至2014年的台灣五十指數數據來預測2015年台灣五十指數,其結果皆支持GWMA方法有較佳的預測性。

In Finance, the volatility is often used to quantify the level of risk assets. Volatility forecasting plays a major role in the pricing of derivative securities such as stock options and options on indices. This paper uses the generally weighted moving average (GWMA) method to predict the performance of the TW50 Index Value. This paper attempts to find the smallest prediction error using the optimal of GWMA model parameters, and compares the results to that found using the GARCH(1,1) and exponentially weighted moving average (EWMA) model to explore differences between the three types of forecasting models. This result supports our finding that the GWMA prediction model shows considerable stability and is more extensive than the GARCH(1,1) and EWMA method in its predictive powers, making this model a simple and convenient forecasting tool
URI: http://hdl.handle.net/11455/96610
Rights: 同意授權瀏覽/列印電子全文服務,2020-01-25起公開。
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