| Summary: | 碩士 === 南華大學 === 企業管理系管理科學碩博士班 === 96 === The thesis is trying to built the Optimal Model of Taiwan Stock Exchange Capitalization Weighted stock Index(TAIEX) by using time series analysis method and to find out the Optimal solution thrutilizing the model of both univarite and multivariate.
After integrating the fact of the result,the followings are finally concluded:
1.To the solution by using univarite,
a) the optimal solution of daily data is derived thru the model of
ARIMA(8,1,7)-GARCH(3,2).
b) the optimal solution of monthly data is derived thru the model of
ARIMA(2,1,3)-ARCH(2).
2.To the solution by using multivariate,the most correlation happens between the variates of TAIEX and the DOW JONES Industrial Average index(DJIAI),the exchange rate of US dillars to NT dollars, and the net buy ＆sell of Foreign Investors.The positive correlation exists among DJIAI,Foreign Investors,while the negative correlation exists among the exchange rate of US dollars to NT dollars.
3.It is easiest to observe the correlation by using the monthly data and then the daily data.The model of the multivariate is the least to be used.
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