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系統識別號 U0026-0812200913404149
論文名稱(中文) 歐元、英磅、瑞士法郎及日圓間波動率關聯性之研究
論文名稱(英文) Volatility Linkages among Euro, British Pound, Swiss Franc and Japanese Yen
校院名稱 成功大學
系所名稱(中) 會計學系碩博士班
系所名稱(英) Department of Accountancy
學年度 95
學期 2
出版年 96
研究生(中文) 吳慧馨
研究生(英文) Hui-Hsin Wu
學號 r1694108
學位類別 碩士
語文別 中文
論文頁數 61頁
口試委員 口試委員-林軒竹
指導教授-王澤世
口試委員-陳嬿如
中文關鍵字 隱含波動率  Granger因果關係  匯率 
英文關鍵字 exchange rate  Granger causality  implied volatility 
學科別分類
中文摘要 本文研究2003年12月4日至2007年4月12日止,歐元、英磅、瑞士法郎及日圓等四種貨幣波動率之關聯性。選用貨幣選擇權隱含波動率,以及使用GARCH模型計算各貨幣之條件變異數。建立VAR模型及使用Granger因果關係檢定四個貨幣波動率間資訊領先-落後關係。
研究結果發現這些貨幣之間的關係對於未來匯率波動之預期有密切的關係。英磅和歐元、歐元和瑞士法郎、瑞士法郎與英磅、日圓與瑞士法郎間有雙向的回饋關係,而日圓對英磅有單向的影響關係。
本文另一部分研究以各貨幣之隱含波動率及GARCH波動率建立VAR模型並進行Granger因果關係,檢視選擇權市場與現貨市場資訊領先-落後關係。研究結果發現日圓、英磅、瑞士法郎及日圓之隱含波動率及GARCH波動率之關係為相互回饋之領先關係。
英文摘要 This paper examines volatility spillover among Euro, British Pound, Swiss Franc and Japanese Yen. For this purpose, volatility implied by currency options on the four currencies and conditional variance of the return of the four spot exchange rates are analyzed. Vector autoregressive modeling and Granger-causality test are applied to ascertain the dynamics of the implied volatilities across currencies.
We find that there are bidirectional volatility spillover between the Euro and the British pound, the Euro and the Swiss franc, the British pound and the Swiss franc, the Swiss franc and Japanese Yen.
Moreover, we also examine the relationship between implied volatility and GARCH volatility of the four currencies. We find that there are bidirectional relationship between implied volatility and GARCH volatility of the British Pound, the Swiss Franc and the Japanese Yen.
論文目次 第一章 緒 論 1
第一節 研究背景和動機 1
第二節 研究目的 3
第三節 論文架構 3
第四節 研究流程 4
第二章 文獻回顧 5
第一節 波動外溢相關文獻回顧 5
第二節 GARCH波動率與隱含波動率 7
第三章 研究方法 12
第一節 樣本資料說明及處理 12
第二節 單根檢定(Unit Root Test) 12
第三節 一般化自我相關條件異質變異模型(GARCH) 14
第四節 向量自我迴歸模型(Vector Auto-Regression) 15
第五節 Granger因果關係檢定 16
第六節 衝擊反應函數與預測誤差變異分解 17
第四章 實證結果分析 19
第一節 單變量GARCH模型之估計 19
第二節 單根檢定 22
第三節 四種貨幣隱含波動率之VAR模型及Granger Causality檢定 23
第四節 四種貨幣GARCH波動率之VAR模型及Granger Causality 30
第五節 四種貨幣各別之隱含波動率與GARCH波動率之VAR模型及Granger Causality 35
第六節 隱含波動率與GARCH殘差平方項之VAR模型及Granger Causality 46
第五章 結論與建議 58
第一節 結 論 58
第二節 限制及建議 59
參考文獻 60
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