自布列頓森林體制(Bretton Woods System)崩潰後，匯率報酬率的波動度已為財務領域上很重要並值得關注的議題。本文旨在進行匯率報酬之波動性與結構性改變的實證研究。由於在資產報酬上GARCH(1,1)常被學者認為具代表性的計量方法，因此本文以GARCH(1,1)為基礎模型，此外，本文考量了結構改變的因素，因此應用ICSS演算法(Iterated Cumulative Sums of Squares)來檢定多重結構改變點個數以及落點。結果顯示，在八個研究國家匯率報酬的資料中，有六個具有顯著的結構改變情形，這也隱含著當不考量結構改變的因素而橫跨各個區域的資料估計GARCH參數時，實證結果將受資料存在可能之結構改變的影響，考量結構改變後的競爭模型在匯率報酬波動之預測上有較高的預測能力。因此透過各種不同考慮匯率被酬波動之結構模型進行預測組合(forcast combination)將有效提升匯率報酬波動之預測力。

Since the Bretton Woods System collapsed, the volatility of the exchange rate return has been an important and concerned issue in financial domain. The purpose of this paper is to investigate the empirical relevance of stricture breaks for the volatility of the exchange rate return, and we use both in-sample and out-of-sample tests. GARCH(1,1) Model is considered to be the representative quantitative method for analyzing the volatility of asset returns, as a result, we picked GARCH(1,1) as natural benchmarks in this article. In addition, we cogitated the structure breaks in this paper, and used ICSS(Iterated Cumulative Sums of Squares) algorithm to test the points of structural breaks. The results of empirical analysis show that there are significant evidences of structural breaks in the unconditional variance for six of eight US exchange rate return series, which implying unstable GARCH processes for these exchange rates. We also find those competing models that accommodating structural breaks will have higher predictive ability. Pooling forecasts from different models that allow for structural breaks in volatility appears to offer a reliable method for improving volatility forecast accuracy given the uncertainty surrounding the timing and size of the structural breaks.

第壹章　緒論........................................................................1
第一節　研究背景與動機..................................................1
第二節　研究目的..............................................................4
第三節　研究架構..............................................................5
第貳章　文獻探討................................................................8
第一節　GARCH模型之相關文獻....................................8
第二節　結構性改變之相關文獻......................................9
第三節　ICSS演算法之相關文獻...................................11
第参章　研究方法..............................................................13
第一節　研究架構............................................................13
第二節　診斷性檢定........................................................16
第三節　樣本內檢定........................................................17
第四節　樣本外預測模型介紹........................................19
　　 模型應用.....................................................................19
　　 損失函數.....................................................................22
第五節　匯率報酬率之波動與結構改變點的實證模型23
　　 三種原始模型.............................................................24
　　 五種競爭模型.............................................................25
第肆章　實證分析..............................................................29
第一節　樣本選取與時間設定........................................29
第二節　樣本內之統計分析............................................30
第三節　樣本外預測實證結果........................................34
第伍章　結論與建議..........................................................39
第一節　結論....................................................................39
第二節　建議....................................................................40
參考文獻..............................................................................41
表4-1　各國樣本期間....................................................... 29
表4-2　各國匯率報酬率統計分析及ARCH效果檢定.....31
表4-3　GARCH(1,1) 模型之係數估計.............................47
表4-4　樣本外預測結果，預測期間S=1.........................50
表4-5　樣本外預測結果，預測期間S=20.......................52
表4-6　樣本外預測結果，預測期間S=60.......................54
表4-7　樣本外預測結果，預測期間S=120....................56
表4-8　樣本外預測最佳模型比較結果(MSFE) ..............35
表4-9　樣本外預測最佳模型比較結果(MVaR) ..............35
表4-10　同一國家匯率自由化程度不同下最佳模型之樣本外預測比較結果(MSFE) ................................................37
圖1-1　研究流程..................................................................7
圖3-1　研究架構................................................................14
圖4-1　各國匯率報酬率走勢圖及結構改變轉換點........44

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