A Study on the Relationships , Asymmetric Volatility Switching and Mean Reverting Property for Stock Price Index, Exchange Rate and Foreign Capitals in Taiwan：An Application of Multivariate VAR ANST GARCH-M Model
| Autor: | LIN,JUEI-TAI, 林瑞泰 |
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| Rok vydání: | 2006 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 94 A Study on the Relationships, Asymmetric Volatility Switching and Mean Reverting Property for Stock Price Index, Exchange Rate and Foreign Capitals in Taiwan：An Application of Multivariate VAR ANST GARCH-M Model ABSTRACT: The purposes of this study is to explore relationships among stock price index, exchange rate and foreign capitals in Taiwan and to detect whether these markets exist asymmetric volatility switching and asymmetric mean reverting property or not .To achieve this purpose in this research, the multivariate GARCH models which include the asymmetric nonlinear smooth transition（anst）GARCH-M procedure are applied to obtain empirical evidence. The results of this research are shown as follows： 1. In conditional mean equations, besides VAR VS GARCH monthly model, the empirical evidences of other models have shown, the change of the foreign capitals leads to the stock price index and exchange rate to change. It implies that foreign capitals may be thought as the role of price discovery. 2. In daily data, the evidences of VAR VS GARCH model have shown all of these three conditional variances have the asymmetric volatility switching effects on them. In the situation of monthly data, the volatility behavior of exchange rate has the same effects on it, except stock price index and exchange rate. 3. Base on the empirical evidences of VAR ANST GARCH-M model, it indicates that all of these three conditional means have asymmetric mean reverting behavior, and it implies that foreign capitals has overreactions in daily data. 4. In the assessment of the establish model, in this research it shows that the VAR ANST GARCH-M model have the best forecasting ability. Keyword：Stock Price Index, Exchange Rate, Foreign Capitals, ANST GARCH, Overreaction |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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