Volatility Factor Analysis of Foreign Currency and World Stock Markets
碩士 === 國立暨南國際大學 === 國際企業學系 === 94 === This thesis tends to identify the volatility factor of foreign currency and world stock markets. We also testify whether factor volatility models by dimension reduction are well performing than traditional volatility models. Two currency futures traded in CME an...
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ndltd-TW-094NCNU03200112015-10-13T10:38:06Z http://ndltd.ncl.edu.tw/handle/93981710866129073213 Volatility Factor Analysis of Foreign Currency and World Stock Markets 國際匯率與國際股市波動因子分析 Chen Yung-Hung 陳永泓 碩士 國立暨南國際大學 國際企業學系 94 This thesis tends to identify the volatility factor of foreign currency and world stock markets. We also testify whether factor volatility models by dimension reduction are well performing than traditional volatility models. Two currency futures traded in CME and ten MSCI developed market indices are adopted as foreign currency and world stock markets respectively. The methods of dimension reduction used in the research are principal com-ponent analysis (PCA) and modified conditionally heteroskedastic (MCH) factor model. In order to fit multivariate model, one of method we adopted is reparameterized the co-variance matrix by Cholesky decomposition. We use two loss functions (MSE1 and MSE2) to compare the forecast ability. The result of foreign currency shows that univariate factor model, by using first principal component as a factor, outperforms original bivariate models. As for the results of world stock markets, two bivariate factor models, both bivariate GARCH model of first two principal component and bivariate model with Cholesky decomposition, also outper-form the univariate GARCH model generally. However, the trivariate factor model not only time consuming to fit, but also performs worse than univariate GARCH model. As for MCH factor model, it performs little worse than univariate GARCH model, suggesting that a VAR model could be adopted for further discussion. Hu Yu-Pin 胡毓彬 2006 學位論文 ; thesis 0 en_US |
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碩士 === 國立暨南國際大學 === 國際企業學系 === 94 === This thesis tends to identify the volatility factor of foreign currency and world stock markets. We also testify whether factor volatility models by dimension reduction are well performing than traditional volatility models. Two currency futures traded in CME and ten MSCI developed market indices are adopted as foreign currency and world stock markets respectively. The methods of dimension reduction used in the research are principal com-ponent analysis (PCA) and modified conditionally heteroskedastic (MCH) factor model. In order to fit multivariate model, one of method we adopted is reparameterized the co-variance matrix by Cholesky decomposition. We use two loss functions (MSE1 and MSE2) to compare the forecast ability.
The result of foreign currency shows that univariate factor model, by using first principal component as a factor, outperforms original bivariate models. As for the results of world stock markets, two bivariate factor models, both bivariate GARCH model of first two principal component and bivariate model with Cholesky decomposition, also outper-form the univariate GARCH model generally. However, the trivariate factor model not only time consuming to fit, but also performs worse than univariate GARCH model. As for MCH factor model, it performs little worse than univariate GARCH model, suggesting that a VAR model could be adopted for further discussion.
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author2 |
Hu Yu-Pin |
author_facet |
Hu Yu-Pin Chen Yung-Hung 陳永泓 |
author |
Chen Yung-Hung 陳永泓 |
spellingShingle |
Chen Yung-Hung 陳永泓 Volatility Factor Analysis of Foreign Currency and World Stock Markets |
author_sort |
Chen Yung-Hung |
title |
Volatility Factor Analysis of Foreign Currency and World Stock Markets |
title_short |
Volatility Factor Analysis of Foreign Currency and World Stock Markets |
title_full |
Volatility Factor Analysis of Foreign Currency and World Stock Markets |
title_fullStr |
Volatility Factor Analysis of Foreign Currency and World Stock Markets |
title_full_unstemmed |
Volatility Factor Analysis of Foreign Currency and World Stock Markets |
title_sort |
volatility factor analysis of foreign currency and world stock markets |
publishDate |
2006 |
url |
http://ndltd.ncl.edu.tw/handle/93981710866129073213 |
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