Summary: | 碩士 === 實踐大學 === 企業管理研究所 === 92 === This research compare the performance among ARIMA and GARCH models of forecasting commercial paper rate in the Taiwan market.The result reveals:When start the forcasting,the performance is the same as past that GARCH model got better on thirty-day commercial paper rate transactions.The research essayed to join commercial paper rate of two on long days , such as 90、180 days,happenstantial the ARIMA model is better both of two days.Furthermore,while using the moving estimation method to forcast commercial paper rate again,GARCH model and ARIMA model each evaluated six different performance on three different days,consequently it is difficult to determine which of these two models is much better.Therefore, the GARCH model possess the better forecast ability on thirty-day of commercial paper rate,the application of investment decision to assess for intestor.
Keyword:ARIMA、GARCH Model。
|