The Long-Short Term Influence of Taiwan Stock Price Volatility by Macroeconomic Variables --Analyze With CARR Model

• Main Author: 潘勝昱
• Other Authors: 冼芻蕘
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/h4hcgp

碩士 === 國立清華大學 === 經濟學系 === 101 === The report influence that Taiwan Weight Stock Index different with daily data and monthly data, investigate macroeconomic variables if it volatility significant explanatory power. Volatility is the risk in the financial market. To make sure that capture well effect volatility by the other variables. The goal will be control by market risk in order to reduce losses. In the empirical model selection, we adopt CARR model(Conditional Autoregressive Range model) proposed by Chou(2005) to be the major risk-model, with kinds of macro combination, shows the effect level of these combination to Taiwan stock price volatility. Concluded, short term volatility is more significant between global financial market and internal financial market, but daily return rate of foreign exchange is not very outstanding. The long term volatility is more significant between monthly return rate of foreign exchange and U.S. government bond. So, the risk will get from the short term financial market, on the other side, long term affect from economics environment.