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Student Number 964304024
Author Chi-Wen Yeh(葉啟文)
Author's Email Address No Public.
Statistics This thesis had been viewed 1068 times. Download 11 times.
Department Executive Master of Industrial Economics
Year 2009
Semester 2
Degree Master
Type of Document Master's Thesis
Language zh-TW.Big5 Chinese
Title 國際原油投資報酬與資金行情之探討-GARCH模型
Date of Defense 2010-06-12
Page Count 75
Keyword
  • ARCH
  • Crude Oil
  • GARCH
  • Unit Root
  • Volatility
  • Abstract Gas price continues to break record high causing inflationary pressures. The rising energy prices cause a negative economic impact to the recovery of the U.S. Subprme Mortgage Crisis.
    Our study will show how Capital Market Effect has an impact to the international oil prices. In addition, the GARCH analysis will focus on the correlation and volatility of West Texas Intermediate (WTI) crude oil return and Brent oil Return. Sample studies are analyzed from total 7,607 number of data and dated back from August 1st 1988 till May 29th 2009 and the main sources of information is from the Federal Reserve’s website and the Bureau of Energy website.
    We used WTI crude oil and Brent oil as benchmark for analysis of Capital Market Effect. Due to crude oil Price showed as non-stationary, make difference to be return status, the result showed that crude oil return existed heteroskedasticity, we used the model of ARCH to describe the conditional variance, then used the model of GARCH to empirical this study.
    According to our study, Federal capital interest rate shows an adverse impact on Capital Market Effect after 2004 for West Texas Intermediate (WTI) crude oil return and Brent oil return. Also, the study shows the return of West Texas crude oil has a positive impact to Brent oil means the volatility of West Texas Intermediate (WTI) crude oil prices correlate closely with Brent oil price.
    Table of Content 目錄
    中英文摘要i
    感謝誌iii
    目錄iv
    圖目錄vi
    表目錄vi
    一、  緒論1
    1-1  研究動機1
    1-2  研究目的2
    1-3  研究限制2
    1-4  研究對象3
    1-5  研究流程3
    二、  文獻回顧5
    2-1  石油價格議題國內相關文獻5
    2-2  石油價格議題國外相關文獻8
    2-3  波動率模型相關文獻10
    三、  研究方法12
    3-1  定態與非定態12
    3-2  單根檢定13
    3-3  一般化自我迴歸條件異質變異模型16
    3-3-1 相關基本模型之介紹16
    3-3-2 統計量檢定21
    四、  實證結果與分析24
    4-1  資料來源與處理24
    4-1-1 資料來源24
    4-1-2 研究資料24
    4-1-3 研究期間25
    4-1-4 資料處理26
    4-2  基本統計量26
    4-3  實證結果30
    4-3-1 ARCH 模型檢定42
    4-3-2 GARCH 模型實證結果50
    五、  結論與建議56
    5-1  研究結論56
    5-2  研究建議58
    參考文獻59
    中文文獻59
    英文文獻60
    圖目錄
    圖1  研究流程圖4
    圖2-1 1988/08/01~2009/05/29西德州原油日價格及日報酬原始走勢圖34
    圖2-2 1988/08/01~2009/05/29 布蘭特原油日價格及日報酬原始走勢圖35
    圖2-3 1988/08/01~2009/05/29 匯率原始走勢圖35
    圖2-4 1988/08/01~2009/05/29 利率原始走勢圖35
    圖2-5 1988/08/01~1999/12/31 西德州原油日價格及日報酬原始走勢圖36
    圖2-6 1988/08/01~1999/12/31 布蘭特原油日價格及日報酬原始走勢圖37
    圖2-7 1988/08/01~1999/12/31 匯率原始走勢圖37
    圖2-8 1988/08/01~1999/12/31 利率原始走勢圖37
    圖2-9 2001/01/01~2009/05/29 西德州原油日價格及日報酬原始走勢圖38
    圖2-10 2001/01/01~2009/05/29 布蘭特原油日價格及日報酬原始走勢圖39
    圖2-11 2001/01/01~2009/05/29 匯率原始走勢圖39
    圖2-12 2001/01/01~2009/05/29 利率原始走勢圖39
    圖2-13 1988/08/01~2009/05/29 匯率經HP 修正後之走勢圖40
    圖2-14 1988/08/01~2009/05/29 利率經HP 修正後之走勢圖40
    圖2-15 1988/08/01~1999/12/31 匯率經HP 修正後之走勢圖41
    圖2-16 1988/08/01~1999/12/31 利率經HP修正後之走勢圖41
    圖2-17 2001/01/01~2009/05/29 匯率經HP修正後之走勢圖41
    圖2-18 2001/01/01~2009/05/29 利率經HP修正後之走勢圖41
    表目錄
    表1  相關變數說明25
    表2-1基本統計量--1988/08/01 至2009/05/2927
    表2-2 基本統計量--1988/08/01 至1999/12/3128
    表2-3 基本統計量--2004/01/01 至2009/05/2929
    表3-1 西德州原油日報酬單根檢定結果30
    表3-2 布蘭特原油日報酬單根檢定結果30
    表3-3 匯率單根檢定結果31
    表3-4 利率單根檢定結果31
    表3-5 匯率HP修正後單根檢定結果33
    表3-6 利率HP修正後單根檢定結果33
    表4-1 西德州原油日報酬OLS 模型實證結果45
    表4-2 布蘭特原油日報酬OLS 模型實證結果47
    表5-1 西德州原油日報酬GARCH 模型實證結果51
    表5-2 布蘭特原油日報酬GARCH 模型實證結果53
    Reference 參考文獻
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    Advisor
  • JIN-LONG LIU(劉錦龍)
  • Lii-Tarn Chen(陳禮潭)
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    Date of Submission 2010-07-05

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