International Capital Asset Pricing Model :Multivariate FIGARCH-in-Mean approach

• Main Authors: Chung-Ying Yeh, 葉宗穎
• Other Authors: Ching-Fan Chung
• Format: Others
• Language: zh-TW
• Published: 2000
• Online Access: http://ndltd.ncl.edu.tw/handle/73502947232440339323

碩士 === 國立臺灣大學 === 經濟學研究所 === 88 === This paper make use of Multivareate FIGARCH-in-Mean Model to be empirical model of International CAPM with constant and time-varying price of risk . FIGARCH model was chacterizied for long-run dependent of volaility by a new paramter d ,which bounded between 0 and 1 ,control the strength of momery . Empirical evidece show us ,we use MSCI equity index data of four capitalized countries -US,UK,Germary and Janpan, volatilities of US,UK and world index were long-momery process (or Fractional Integrated GARCH process) ,especially volatility of UK even represented IGARCH ! Co-movement behavior between US,UK GM and world market were strong and closed ,furthermore , Multivariate FIGARCH-in-Mean is better empirical model than Multivariate GARCH-in-Mean due to comparasion of two empirical outcomes .