Raw materials commodity price index fluctuation analysis- Application of GARCH Model &MS-GARCH Model

• Main Authors: Yung-An Cheng, 陳泳安
• Other Authors: Chung-Jen Yang
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/28828500268452509522

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 98 === This research analyzes the feature of commodities future index price. There are four kind of data be adopted in this research. To compare the difference return ratios between MRS-GARCH model and GARCH model we found that all results performed in MRS-GARCH model are quite well than GARCH model. We found that if included the different situation of economy in MRS-GARCH model. It could perform well results. There are three distributions in the assumptions of data. Student’s distribution can state the situation of economy clearly. All of return ratios that mentioned in research are higher in the economic expansion than recession. Conditional variances of indexes of agricultural and metal are higher in expansion than recession. But the index of oil and food has higher conditional variance in recession. All of conditional variances have the feature of high persistence of shock in price except food index.